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Utility maximization in incomplete markets with random endowment |
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| Authors: | Jakša Cvitanić Walter Schachermayer Hui Wang |
| Affiliation: | (1) Department of Mathematics, USC, 1042 W 36 Pl, DRB 155, Los Angeles, CA 90089-1113, USA (e-mail: cvitanic@math.usc.edu) , US;(2) Department of Statistics, Probability Theory and Actuarial Mathematics, Vienna University of Technology, Wiedner Hauptstrasse 8-10, A-1040 Wien, Austria (e-mail: wschach@fam.tuwien.ac.at) , AT;(3) Department of Statistics, Columbia University, New York, NY 10027, USA (e-mail: wanghui@stat.columbia.edu) , US |
| Abstract: | |
| Keywords: | : Utility maximization incomplete markets random endowment duality |
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