A unified framework for utility maximization problems: An Orlicz space approach

DOI10.1214/07-AAP469zbMath1151.60019arXiv0806.2582MaRDI QIDQ930672

Publication date: 1 July 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2582

zbMATH Keywords

incomplete market Orlicz space convex duality utility maximization singular functionals \(\sigma \)-martingale measure nonlocally bounded 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)

Related Items

Systemic optimal risk transfer equilibrium, Stability of utility maximization in nonequivalent markets, A dual representation of gain–loss hedging for European claims in discrete time, Extremal measures and hedging in American options, Exponential models by Orlicz spaces and applications, On utility maximization without passing by the dual problem, Option spanning beyond \(L_p\)-models, Some Functional Analytic Tools for Utility Maximization, Convex risk measures on Orlicz spaces: inf-convolution and shortfall, An analytical study of norms and Banach spaces induced by the entropic value-at-risk, Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions, Lebesgue property for convex risk measures on Orlicz spaces, Duality and stable compactness in Orlicz-type modules, Financial markets with a large trader, Comparative and qualitative robustness for law-invariant risk measures, Continuous equilibrium in affine and information-based capital asset pricing models, Beyond cash-additive risk measures: when changing the numéraire fails, Convex duality in optimal investment under illiquidity, Multivariate Shortfall Risk Allocation and Systemic Risk, Partial equilibria with convex capital requirements: existence, uniqueness and stability, INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES, A note on admissibility when the credit line is infinite, Robust utility maximisation in markets with transaction costs, Optimal investment and contingent claim valuation in illiquid markets, Compactness, Optimality, and Risk, Arbitrage-free modeling under Knightian uncertainty, Continuity of utility maximization under weak convergence, Convex duality in optimal investment and contingent claim valuation in illiquid markets, OPTIMAL INVESTMENT WITH AN UNBOUNDED RANDOM ENDOWMENT AND UTILITY‐BASED PRICING, Robust Utility Maximization without Model Compactness, Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models, Existence conditions for extremal probability measures on Polish spaces and some of their properties, On the dual problem of utility maximization in incomplete markets, On generalized Young’s Inequality, Geometry of polar wedges in Riesz spaces and super-replication prices in incomplete financial markets, Representations of set-valued risk measures defined on the \(l\)-tensor product of Banach lattices, CONDITIONAL CERTAINTY EQUIVALENT, On fairness of systemic risk measures, MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS, Duality and optimality conditions in stochastic optimization and mathematical finance, Robust Portfolio Choice and Indifference Valuation, Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives

Cites Work