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We consider utility maximization problem for semi-martingale models depending on a random factor $\xi$. We reduce initial maximization problem to the conditional one, given $\xi=u$, which we solve using dual approach. For HARA utilities we consider i
Externí odkaz:
http://arxiv.org/abs/1303.1134
For utility functions $u$ finite valued on $\mathbb{R}$, we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper is that possibly non locally bounded semima
Externí odkaz:
http://arxiv.org/abs/0905.4657
Publikováno v:
Mathematical Finance. Jul2011, Vol. 21 Issue 3, p423-446. 24p.
Autor:
A. Ellanskaya, L. Vostrikova
Publikováno v:
Труды Математического института им. Стеклова. 287:75-102
We consider the utility maximisation problem for semi-martingale models and HARA (hyperbolic absolute risk aversion) utilities. Using specific properties of HARA utilities, we reduce the initial maximisation problem to the conditional one, which we s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::13f841b53932c8581ecc6e494bb7fd80
https://doi.org/10.1134/s0371968514040050
https://doi.org/10.1134/s0371968514040050
Akademický článek
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Publikováno v:
Mathematical Finance. 21:423-446
For utility functions u …nite valued on R, we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper is that possibly non locally bounded semimartingale pri
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c5e6186fd71f2370e1b20cb186966b38
https://doi.org/10.1111/j.1467-9965.2010.00443.x
https://doi.org/10.1111/j.1467-9965.2010.00443.x
Autor:
Robertson, Scott1 scottrob@bu.edu, Spiliopoulos, Konstantinos2
Publikováno v:
Mathematical Finance. Jan2018, Vol. 28 Issue 1, p335-371. 37p.
For utility functions $u$ finite valued on $\mathbb{R}$, we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper is that possibly non locally bounded semima
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a3e08e3b979dd008ff05fb90d886786e
http://hdl.handle.net/11385/154562
http://hdl.handle.net/11385/154562
Autor:
Lorig, Matthew1 mlorig@uw.edu
Publikováno v:
Mathematical Finance. Jan2018, Vol. 28 Issue 1, p372-408. 37p.