On utility maximization without passing by the dual problem
From MaRDI portal
Publication:5086453
Abstract: We treat utility maximization from terminal wealth for an agent with utility function who dynamically invests in a continuous-time financial market and receives a possibly unbounded random endowment. We prove the existence of an optimal investment without introducing the associated dual problem. We rely on a recent result of Orlicz space theory, due to Delbaen and Owari which leads to a simple and transparent proof. Our results apply to non-smooth utilities and even strict concavity can be relaxed. We can handle certain random endowments with non-hedgeable risks, complementing earlier papers. Constraints on the terminal wealth can also be incorporated. As examples, we treat frictionless markets with finitely many assets and large financial markets.
Recommendations
Cites work
- scientific article; zbMATH DE number 50401 (Why is no real title available?)
- scientific article; zbMATH DE number 2174800 (Why is no real title available?)
- scientific article; zbMATH DE number 796446 (Why is no real title available?)
- A new perspective on the fundamental theorem of asset pricing for large financial markets
- A unified framework for utility maximization problems: An Orlicz space approach
- Admissible strategies in semimartingale portfolio selection
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Efficient hedging: cost versus shortfall risk
- Hedging of contingent claims and maximum price
- Indifference price with general semimartingales
- Maximizing expected utility in the arbitrage pricing model
- Minimizing shortfall risk and applications to finance and insurance problems
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- On optimal strategies for utility maximizers in the arbitrage pricing model
- On the existence of shadow prices for optimal investment with random endowment
- On utility maximization under convex portfolio constraints
- Optimal investment in incomplete markets when wealth may become negative.
- Optimal investment with intermediate consumption and random endowment
- Optimal investment with transaction costs and without semimartingales
- Super-replication and utility maximization in large financial markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The mathematics of arbitrage
- Utility maximization in incomplete markets for unbounded processes
- Utility maximization in incomplete markets with random endowment
Cited in
(14)- A note on the existence of the power investor's optimizer
- Robust utility maximization, \(f\)-projections, and risk constraints.
- Erratum to: ``Utility maximization in incomplete markets with random endowment
- Some functional analytic tools for utility maximization
- Robust utility maximisation in markets with transaction costs
- Constrained nonsmooth utility maximization on the positive real line
- Utility maximization in incomplete markets with random endowment
- A unified framework for utility maximization problems: An Orlicz space approach
- Utility maximization problem in the case of unbounded endowment
- A non-calculus approach to solving the utility maximization problem using the Cobb-Douglas and CES utility function
- Convex duality and Orlicz spaces in expected utility maximization
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- Optimal investment and consumption with labor income in incomplete markets
- Existence of solutions in non-convex dynamic programming and optimal investment
This page was built for publication: On utility maximization without passing by the dual problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086453)
