Utility maximization problem in the case of unbounded endowment

DOI10.3103/S0027132213030029zbMath1298.49015MaRDI QIDQ469080

R. V. Khasanov

Publication date: 10 November 2014

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

Mathematics Subject Classification ID

Existence of solutions for minimax problems (49J35) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (3)

Some Functional Analytic Tools for Utility Maximization ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Dual problem of robust utility maximization

Cites Work

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• OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
• Finitely Additive Measures
• Utility maximization in incomplete markets with random endowment

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