A Note on Utility Maximization with Unbounded Random Endowment
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Oleksii Mostovyi, 2015. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Finance and Stochastics, Springer, vol. 19(1), pages 135-159, January.
- Keita Owari, 2011. "On Admissible Strategies in Robust Utility Maximization," Papers 1109.5512, arXiv.org, revised Mar 2012.
- Keita Owari, 2013. "A Robust Version of Convex Integral Functionals," Papers 1305.6023, arXiv.org, revised May 2015.
- Keita Owari, 2011. "ON ADMISSIBLE STRATEGIES IN ROBUST UTILITY MAXIMIZATION(Revised in March 2012, 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.
- Sara Biagini & Mustafa Pinar, 2015. "The Robust Merton Problem of an Ambiguity Averse Investor," Papers 1502.02847, arXiv.org.
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KeywordsUtility maximization; Convex duality method; Martingale measures;
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