Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem

Details Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem Duality in Robust Utility Maximization with Unbounded Claim via a Robust Extension of Rockafellar's Theorem

2011-01-15

arxiv.org/abs/1101.2968v1

Economy

Quantitative Finance

Computational Finance

Scientific paper

We study the convex duality method for robust utility maximization in the presence of a 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 on the whole real line and unbounded random endowment. To obtain this duality, we prove a robust version of Rockafellar's theorem on convex integral functionals and apply Fenchel's general duality theorem.

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