Dual Problem of Robust Utility Maximization

被引：0
作者：
Farvazova, A. A. [1 ]
机构：
[1] Lomonosov Moscow State Univ, Fac Mech & Math, Chair Probabil Theory, Moscow, Russia
来源：
MOSCOW UNIVERSITY MATHEMATICS BULLETIN | 2022年 / 77卷 / 04期
关键词：
utility maximization; dual problem; robust utility; Orlicz space; Fenchel duality; f-divergence; random endowment; INTEGRALS;
D O I：
10.3103/S0027132222040039
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The robust utility maximization problem with a random endowment in an abstract financial market model is considered. The utility function is assumed finite on the half-line, and the dual characterization of this problem is derived.
引用
收藏
页码：176 / 182
页数：7
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