A Note on Utility Maximization with Unbounded Random Endowment
AbstractThis paper addresses the applicability of the convex duality method for utility maximization, in the presence of random endowment. When the price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true, for a wide class of utility functions and unbounded random endowments. We show this duality by exploiting Rockafellar's theorem on integral functionals, to a random utility function.
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 18 (2011)
Issue (Month): 1 (March)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Utility maximization; Convex duality method; Martingale measures;
Other versions of this item:
- Keita Owari, 2009. "A Note on Utility Maximization with Unbounded Random Endowment," Global COE Hi-Stat Discussion Paper Series gd09-091, Institute of Economic Research, Hitotsubashi University.
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