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Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem

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  • Keita Owari

Abstract

We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a wide class of utility functions on the whole real line and unbounded random endowment. To obtain this duality, we prove a robust version of Rockafellar's theorem on convex integral functionals and apply Fenchel's general duality theorem.

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File URL: http://arxiv.org/pdf/1101.2968
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Bibliographic Info

Paper provided by arXiv.org in its series Papers with number 1101.2968.

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Date of creation: Jan 2011
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Handle: RePEc:arx:papers:1101.2968

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Web page: http://arxiv.org/

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Cited by:
  1. Keita Owari, 2011. "On Admissible Strategies in Robust Utility Maximization," Papers 1109.5512, arXiv.org, revised Mar 2012.
  2. Keita Owari, 2011. "ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION (Forthcoming in "Mathematics and Financial Economics")," CARF F-Series CARF-F-257, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.

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