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Erschienen in:
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2011 | OriginalPaper | Buchkapitel

Robust utility maximization with unbounded random endowment

verfasst von : Keita Owari

Erschienen in: Advances in Mathematical Economics

Verlag: Springer Japan

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Abstract

This paper studies the problem of robust utility maximization with random endowment. When the endowment is possibly unbounded, but satisfies certain integrability conditions, we first prove the fundamental duality relation between the utility maximization and the dual problem, and the existence of a solution to the dual problem. Then the existence of an optimal strategy in a certain choice of admissible class is discussed. As an application, we introduce a robust version of utility indifference prices.

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Vorheriges Kapitel Partial hedging for defaultable claims
Nächstes Kapitel A time-embedded approach to economic equilibrium with incomplete financial markets
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Metadaten
Titel
Robust utility maximization with unbounded random endowment
verfasst von
Keita Owari
Copyright-Jahr
2011
Verlag
Springer Japan
Buch
Advances in Mathematical Economics

Print ISBN: 978-4-431-53882-0

Electronic ISBN: 978-4-431-53883-7

Copyright-Jahr: 2011

DOI
https://doi.org/10.1007/978-4-431-53883-7_7

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