A Note on Utility Maximization with Unbounded Random Endowment |
| |
Authors: | Keita Owari |
| |
Institution: | (1) Department of Mathematics, TU Berlin, Strasse des 17. Juni 136, 10623 Berlin, Germany |
| |
Abstract: | 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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|