A unified framework for utility maximization problems: An Orlicz space approach
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Publication:930672
DOI10.1214/07-AAP469zbMATH Open1151.60019arXiv0806.2582MaRDI QIDQ930672FDOQ930672
Publication date: 1 July 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We consider a stochastic financial incomplete market where the price processes are described by a vector-valued semimartingale that is possibly nonlocally bounded. We face the classical problem of utility maximization from terminal wealth, with utility functions that are finite-valued over , , and satisfy weak regularity assumptions. We adopt a class of trading strategies that allows for stochastic integrals that are not necessarily bounded from below. The embedding of the utility maximization problem in Orlicz spaces permits us to formulate the problem in a unified way for both the cases and . By duality methods, we prove the existence of solutions to the primal and dual problems and show that a singular component in the pricing functionals may also occur with utility functions finite on the entire real line.
Full work available at URL: https://arxiv.org/abs/0806.2582
convex dualityincomplete marketutility maximizationOrlicz spacesingular functionals\(\sigma \)-martingale measurenonlocally bounded semimartingale
Applications of functional analysis in probability theory and statistics (46N30) Generalizations of martingales (60G48) Utility theory (91B16) Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Martingales with continuous parameter (60G44) Duality theory (optimization) (49N15)
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Cited In (44)
- Optimal investment and contingent claim valuation in illiquid markets
- Systemic optimal risk transfer equilibrium
- Robust Portfolio Choice and Indifference Valuation
- Duality and stable compactness in Orlicz-type modules
- Law-invariant return and star-shaped risk measures
- Arbitrage-free modeling under Knightian uncertainty
- Robust utility maximisation in markets with transaction costs
- Maximization of nonconcave utility functions in discrete-time financial market models
- Stability of utility maximization in nonequivalent markets
- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
- Comparative and qualitative robustness for law-invariant risk measures
- Option spanning beyond \(L_p\)-models
- Continuity of utility maximization under weak convergence
- Convex risk measures on Orlicz spaces: inf-convolution and shortfall
- A note on admissibility when the credit line is infinite
- Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets
- Some Functional Analytic Tools for Utility Maximization
- On fairness of systemic risk measures
- Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices
- Extremal measures and hedging in American options
- Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions
- Multivariate risk measures: a constructive approach based on selections
- Existence conditions for extremal probability measures on Polish spaces and some of their properties
- Robust utility maximization without model compactness
- Multivariate Shortfall Risk Allocation and Systemic Risk
- Compactness, Optimality, and Risk
- Continuous equilibrium in affine and information-based capital asset pricing models
- Duality and optimality conditions in stochastic optimization and mathematical finance
- INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
- Convex duality in optimal investment under illiquidity
- On utility maximization without passing by the dual problem
- An analytical study of norms and Banach spaces induced by the entropic value-at-risk
- Beyond cash-additive risk measures: when changing the numéraire fails
- On the dual problem of utility maximization in incomplete markets
- CONDITIONAL CERTAINTY EQUIVALENT
- Lebesgue property for convex risk measures on Orlicz spaces
- A dual representation of gain–loss hedging for European claims in discrete time
- Exponential models by Orlicz spaces and applications
- On generalized Young’s Inequality
- Convex duality in optimal investment and contingent claim valuation in illiquid markets
- Financial markets with a large trader
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- Multivariate systemic optimal risk transfer equilibrium
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