INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES

Autor:	Matheus R. Grasselli, Marco Frittelli, Sara Biagini
Rok vydání:	2010
Předmět:	Convex analysis Economics and Econometrics Applied Mathematics Duality (optimization) Indifference price Semimartingale Accounting Bounded function Incomplete markets Economics Mathematical economics Convexity in economics Social Sciences (miscellaneous) Finance Indifference curve
Zdroj:	Mathematical Finance. 21:423-446
ISSN:	0960-1627
DOI:	10.1111/j.1467-9965.2010.00443.x
Popis:	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 price processes are allowed. Following Biagini and Frittelli [BF08], the analysis is based on the duality between the Orlicz spaces (L b ;(L b ) � ) naturally associated to the utility function. This formulation
Databáze:	OpenAIRE
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