Optimal investment in incomplete markets when wealth may become negative.
type: Item
instance of: scholarly article
title: Optimal investment in incomplete markets when wealth may become negative.
zbMATH Open document ID: 1049.91085
published in: The Annals of Applied Probability
publication date: 2003-05-06T00:00:00Z
review text: This is an extension of the author and his co-worker's \textit{D. Kramkov} and \textit{W. Schachermayer} [Ann. Appl. Probab. 9, 904--950 (1999; Zbl 0967.91017)]. The contribution of this paper is that the utility function is allowed to take negative values, which will make the things more complicate. An existence theorem for the optimal investment in a locally bounded semi-martingale model of a financial market is proven. Examples are shown.
reviewed by: Gong Guanglu
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60-02
Mathematics Subject Classification ID: 49N90
Mathematics Subject Classification ID: 60G48
zbMATH DE Number: 1906213
zbMATH Keywords: utility maximization
zbMATH Keywords: duality
author: Walter Schachermayer
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1015345346
OpenAlex ID: W1996450459
cites work: Hedging of contingent claims and maximum price
cites work: Conjugate convex functions in optimal stochastic control
cites work: I-divergence geometry of probability distributions and minimization problems
cites work: Utility maximization in incomplete markets with random endowment
cites work: Q4218383
cites work: A general version of the fundamental theorem of asset pricing
cites work: The Banach space of workable contingent claims in arbitrage theory
cites work: The fundamental theorem of asset pricing for unbounded stochastic processes
cites work: Q4263612
cites work: Q3865223
cites work: Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Calcul stochastique et problèmes de martingales
cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
cites work: Convex Analysis
DOI: 10.1214/AOAP/1015345346
description: scientific article; zbMATH DE number 1906213