On the dual problem of utility maximization in incomplete markets
From MaRDI portal
Publication:5965368
DOI10.1016/j.spa.2015.10.009zbMath1333.91050arXiv1510.08323OpenAlexW2164729024MaRDI QIDQ5965368
Lingqi Gu, Junjian Yang, Yi-Qing Lin
Publication date: 3 March 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.08323
Related Items (3)
Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Conditional Davis pricing
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Facelifting in utility maximization
- Forward-backward systems for expected utility maximization
- Market viability via absence of arbitrage of the first kind
- Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure
- A unified framework for utility maximization problems: An Orlicz space approach
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Optional decompositions under constraints
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Utility based optimal hedging in incomplete markets.
- Optimal investment in incomplete markets when wealth may become negative.
- Optimal investment with random endowments in incomplete markets.
- The existence of absolutely continuous local martingale measures
- The numéraire portfolio in semimartingale financial models
- Stability of utility-maximization in incomplete markets
- Utility maximization in incomplete markets for unbounded processes
- INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES
- OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING
- On the Existence of Minimax Martingale Measures
- [https://portal.mardi4nfdi.de/wiki/Publication:5646185 Th�orie des processus stochastiques g�n�raux applications aux surmartingales]
- Finitely Additive Measures
- Utility maximization in incomplete markets with random endowment
- Supermartingales as Radon-Nikodym densities and related measure extensions
This page was built for publication: On the dual problem of utility maximization in incomplete markets
