Admissible Strategies in Semimartingale Portfolio Selection

DOI10.1137/090774458zbMath1215.91072arXiv0910.3936OpenAlexW3098524171MaRDI QIDQ2999819

Sara Biagini, Aleš Černý

Publication date: 17 May 2011

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.3936

zbMATH Keywords

incomplete marketOrlicz spaceconvex dualityutility maximizationnonlocally bounded semimartingale\(\sigma\)-martingale measure\(\sigma\)-localization and \(\mathcal{I}\)-localization

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)

Related Items (10)

A dual representation of gain–loss hedging for European claims in discrete time ⋮ On utility maximization without passing by the dual problem ⋮ On the existence of shadow prices ⋮ Some Functional Analytic Tools for Utility Maximization ⋮ On admissible strategies in robust utility maximization ⋮ On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility ⋮ Robust utility maximisation in markets with transaction costs ⋮ Evolution of the Arrow-Pratt measure of risk-tolerance for predictable forward utility processes ⋮ Simplified stochastic calculus with applications in economics and finance ⋮ Convex duality in optimal investment and contingent claim valuation in illiquid markets

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