Dual formulation of the utility maximization problem: the case of nonsmooth utility

Details Dual formulation of the utility maximization problem: the case of nonsmooth utility Dual formulation of the utility maximization problem: the case of nonsmooth utility

2004-05-14

arxiv.org/abs/math/0405290v1

Annals of Applied Probability 2004, Vol. 14, No. 2, 678-717

Mathematics

Probability

Scientific paper

10.1214/105051604000000062

We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the shortfall minimization problems in our framework. Second, we allow for the presence of some given liability or a random endowment. In particular, these results provide a dual formulation of the utility indifference valuation rule.

Affiliated with

Also associated with

No associations

Rating

Dual formulation of the utility maximization problem: the case of nonsmooth utility does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Dual formulation of the utility maximization problem: the case of nonsmooth utility, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Dual formulation of the utility maximization problem: the case of nonsmooth utility will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-671780