Publication Cover
Stochastics
An International Journal of Probability and Stochastic Processes
Volume 90, 2018 - Issue 7
102
Views
0
CrossRef citations to date
0
Altmetric
Articles

On utility maximization without passing by the dual problem

Pages 955-971 | Received 09 Feb 2017, Accepted 22 Mar 2018, Published online: 02 Apr 2018

References

  • J.-P. Ansel , and Ch Stricker , Couverture des actifs contingents et prix maximum , Ann. Inst. H. Poincaré Probab. Statist. 30 (1994), pp. 303–315.
  • S. Biagini , and A. Černy , Admissible strategies in semimartingale portfolio selection , SIAM J. Control Optim. 49 (2011), pp. 42–72.
  • S. Biagini , An Orlicz spaces duality for utility maximization in incomplete markets , in Seminar on Stochastic Analysis, Random Fields and Applications V, Progress in Probability , R.C. Dalang , M. Dozzi and F. Russo , eds., Vol. 59, Birkhäuser, Basel, 2007, pp. 445–455
  • S. Biagini , and M. Frittelli , Utility maximization in incomplete markets for unbounded processes , Finance Stoch. 9 (2005), pp. 493–517.
  • S. Biagini , and M. Frittelli , A unified framework for utility maximization problems: An Orlicz space approach , Ann. Appl. Probab. 18 (2008), pp. 929–966.
  • S. Biagini , M. Frittelli , and M. Grasselli , Indifference price with general semimartingales , Math. Finance 21 (2011), pp 423–446.
  • B. Bouchard , N. Touzi , and A. Zeghal , Dual formulation of the utility maximization problem: The case of nonsmooth utility , Ann. Appl. Probab. 14 (2004), pp. 678–717.
  • N.H. Chau , and M. Rásonyi , Robust utility maximization under transaction costs. Preprint (2018). arXiv:1803.04213.
  • C. Cuchiero , I. Klein , and J. Teichmann , A new perspective on the fundamental theorem of asset pricing for large financial markets , Theory of Probability and its Applications 60 (2016), pp. 561–579.
  • J. Cvitanić , W. Schachermayer , and H. Wang , Utility maximization in incomplete markets with random endowment , Finance Stoch. 5 (2001), pp. 259–272.
  • M. De Donno , P. Guasoni , and M. Pratelli , Superreplication and utility maximization in large financial markets , Stochastic Process. Appl. 115 (2005), pp. 2006–2022.
  • F. Delbaen , and K. Owari , On convex functions on the duals of Δ2-Orlicz spaces , Preprint (2016). arXiv:1611.06218v1.
  • F. Delbaen , and W. Schachermayer , The mathematics of arbitrage , Springer, Berlin, Heidelberg, 2006.
  • H. Föllmer , and P. Leukert , Efficient hedging: Cost vs. shortfall risk , Finance Stoch. 4 (2000), pp. 117–146.
  • P. Guasoni , Optimal investment with transaction costs and without semimartingales , Ann. Appl. Probab. 12 (2002), pp. 1227–1246.
  • L. Gu , Y. Lin , and J. Yang , On the existence of shadow prices for optimal investment with random endowment , Stochastics (2017). To appear in arXiv:1602.01109v1.
  • YuM Kabanov , and D.O. Kramkov , Large financial markets: Asymptotic arbitrage and contiguity , Theory Probab. Appl. 39 (1994), pp. 182–187.
  • D.O. Kramkov , and W. Schachermayer , The asymptotic elasticity of utility functions and optimal investment in incomplete markets , Ann. Appl. Probab. 9 (1999), pp. 904–950.
  • K. Larsen , and G. Žitković , On utility maximization under convex portfolio constraints , Ann. Appl. Probab. 23 (2013), pp. 665–692.
  • O. Mostovyi , Utility maximization in the large markets , Mathematical Finance 27 (2017), pp. 96–114.
  • M. Owen , and G. Žitković , Optimal investment with an unbounded random endowment and utility-based pricing , Math. Finance 19 (2009), pp. 129–159.
  • H. Pham , Minimizing shortfall risk and applications to finance and insurance problems , Ann. Appl. Probab. 12 (2002), pp. 143–172.
  • M.M. Rao , and Z.D. Ren , Theory of Orlicz spaces , in Monographs and Textbooks in Pure and Applied Mathematics . Vol. 146, Marcel Dekker, New York, 1991.
  • M. Rásonyi , On optimal strategies for utility maximizers in the Arbitrage Pricing Model , Int. J. Theo. Appl. Fin. 19(7) (2016) doi:10.1142/S0219024916500473. article no. 1650047 (12 pages).
  • M. Rásonyi , Maximizing expected utility in the Aribtrage Pricing Model , J. Math. Anal. Appl. 454 (2017), pp. 127–143.
  • W. Schachermayer , Optimal investment in incomplete markets when wealth may become negative , Ann. Appl. Probab. 11 (2001), pp. 694–734.
  • W. Schachermayer , Portfolio optimization in incomplete financial markets , Scuola Normale Superiore, Pisa, 2004.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.