Some functional analytic tools for utility maximization

DOI10.1007/978-3-319-03512-3_15MaRDI QIDQ2946096zbMATH OpenOpenAlexFDO

Authors A. A. Gushchin, R. V. Khasanov, Ivan Morozov

Publication date 16 September 2015

Published in Modern Stochastics and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-03512-3_15

zbMATH Keywords

convex dualityutility maximizationsingular components

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

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Cited in

(7)

• scientific article; zbMATH DE number 124432 (Why is no real title available?)
• A unified framework for utility maximization problems: An Orlicz space approach
• A non-calculus approach to solving the utility maximization problem using the Cobb-Douglas and CES utility function
• A note on utility maximization with unbounded random endowment
• Convex duality and Orlicz spaces in expected utility maximization
• On utility maximization without passing by the dual problem
• An Orlicz spaces duality for utility maximization in incomplete markets

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