TY - UNPB
T1 - Utility maximization in incomplete markets with random endowment
AU - Cvitanic, Jaksa
AU - Schachermayer, Walter
AU - Wang, Hui
PY - 2000
Y1 - 2000
N2 - This paper solves a long-standing open problem in mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete markets, and to characterize it via the associated dual problem. We show that this is indeed possible if the dual problem and its domain are carefully defined. More precisely, we show that the optimal terminal wealth is equal to the inverse of marginal utility evaluated at the solution to the dual problem, which is in the form of the regular part of an element of(L∞)* (the dual space of L∞). (author's abstract)
AB - This paper solves a long-standing open problem in mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete markets, and to characterize it via the associated dual problem. We show that this is indeed possible if the dual problem and its domain are carefully defined. More precisely, we show that the optimal terminal wealth is equal to the inverse of marginal utility evaluated at the solution to the dual problem, which is in the form of the regular part of an element of(L∞)* (the dual space of L∞). (author's abstract)
U2 - 10.57938/69c6be31-e47a-4985-a248-687e20e75b50
DO - 10.57938/69c6be31-e47a-4985-a248-687e20e75b50
M3 - WU Working Paper
T3 - Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
BT - Utility maximization in incomplete markets with random endowment
PB - SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
CY - Vienna
ER -