Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization

DOI10.1007/s00780-010-0128-6zbMath1302.93248OpenAlexW2069683088MaRDI QIDQ483931

Nicholas Westray, Harry Zheng

Publication date: 17 December 2014

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

Full work available at URL: http://hdl.handle.net/10044/1/18530

zbMATH Keywords

convex dualitynonsmooth utility maximizationsubdifferential wealth random variables

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (5)

Utility maximization with a given pricing measure when the utility is not necessarily concave ⋮ On utility maximization under convex portfolio constraints ⋮ Recursive utility optimization with concave coefficients ⋮ Portfolio optimization under convex incentive schemes ⋮ Constrained nonsmooth utility maximization on the positive real line

Cites Work

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• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Utility maximization on the real line under proportional transaction costs
• A super-martingale property of the optimal portfolio process
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Dual formulation of the utility maximization problem under transaction costs
• Dual formulation of the utility maximization problem: the case of nonsmooth utility.
• Convex Analysis

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