Robust utility maximization with unbounded random endowment

DOI10.1007/978-4-431-53883-7_7MaRDI QIDQ3000047zbMATH OpenOpenAlexFDO

Authors Keita Owari

Publication date 18 May 2011

Published in Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-4-431-53883-7_7

zbMATH Keywords

convex duality methodrobust utility maximizationutility indifference valuation

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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Cited in

(15)

• Robust expected utility maximization with medial limits
• On admissible strategies in robust utility maximization
• Dual problem of robust utility maximization
• Robust utility maximization under model uncertainty via a penalization approach
• Robust utility maximization for complete and incomplete markets
• Utility maximization in incomplete markets for unbounded processes
• Robust projections in the class of martingale measures
• STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
• scientific article; zbMATH DE number 5372060 (Why is no real title available?)
• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• The robust Merton problem of an ambiguity averse investor
• On utility maximization without passing by the dual problem
• A note on utility maximization with unbounded random endowment
• Exponential utility maximization under model uncertainty for unbounded endowments

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