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.

引用

页码：89 / 103

页数：14

共 24 条

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