Utility maximization in incomplete markets for unbounded processes

DOI10.1007/s00780-005-0163-xzbMath1088.60041OpenAlexW1995848650MaRDI QIDQ2488492

Marco Frittelli, Sara Biagini

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/24995

zbMATH Keywords

convex duality\(\sigma\)-martingale measurearbitrage and preferencesunbounded semimartingale

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) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Duality theory (optimization) (49N15) Applications of functional analysis in probability theory and statistics (46N30) Portfolio theory (91G10)

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