A Note on Utility Maximization with Unbounded Random Endowment

被引：2
作者：
Owari K. [1 ]
机构：
[1] Graduate School of Economics, Hitotsubashi University, Kunitachi, Tokyo 186-8601
来源：
Asia-Pacific Financial Markets | 2011年 / 18卷 / 1期
关键词：
Convex duality method; Martingale measures; Utility maximization;
D O I：
10.1007/s10690-010-9122-4
中图分类号：
学科分类号：
摘要：
This paper addresses the applicability of the convex duality method for utility maximization, in the presence of 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 and unbounded random endowments. We show this duality by exploiting Rockafellar's theorem on integral functionals, to a random utility function. © 2010 Springer Science+Business Media, LLC.
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页码：89 / 103
页数：14
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