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A Note on Utility Maximization with Unbounded Random Endowment

Listed author(s):
  • Keita Owari
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    This 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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    File URL: http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd09-091.pdf
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    Paper provided by Institute of Economic Research, Hitotsubashi University in its series Global COE Hi-Stat Discussion Paper Series with number gd09-091.

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    Date of creation: Oct 2009
    Handle: RePEc:hst:ghsdps:gd09-091
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