Dual problem of robust utility maximization

DOI10.3103/S0027132222040039zbMath1505.91366OpenAlexW4312477768MaRDI QIDQ2104401

A. A. Farvazova

Publication date: 7 December 2022

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3103/s0027132222040039

zbMATH Keywords

dual problemOrlicz spacerandom endowmentutility maximizationFenchel duality\(f\)-divergencerobust utility

Mathematics Subject Classification ID

Spaces of measurable functions ((L^p)-spaces, Orlicz spaces, Köthe function spaces, Lorentz spaces, rearrangement invariant spaces, ideal spaces, etc.) (46E30) Utility theory (91B16) Financial markets (91G15)

Cites Work

• Unnamed Item
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