On the dual problem of utility maximization in incomplete markets

DOI10.1016/j.spa.2015.10.009zbMath1333.91050arXiv1510.08323MaRDI QIDQ5965368

Lingqi Gu, Junjian Yang, Yi-Qing Lin

Publication date: 3 March 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.08323

zbMATH Keywords

primal-dual approach; random endowment; utility maximization; dual optimizer

Mathematics Subject Classification ID

91B16: Utility theory

60G48: Generalizations of martingales

91G10: Portfolio theory

Related Items

Conditional Davis pricing, Utility maximization problem with transaction costs: optimal dual processes and stability, Utility maximization problem with random endowment and transaction costs: when wealth may become negative

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