A Note on Utility Maximization with Unbounded Random Endowment

This paper addresses the applicability of the convex duality method for utility maximization, in the presence of random endowment. When the price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true, for a wide class of utility functions and unbounded random endowments. We show this duality by exploiting Rockafellar's theorem on integral functionals, to a random utility function.

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Year of publication:	2009-10
Authors:	Owari, Keita
Institutions:	Institute of Economic Research, Hitotsubashi University
Subject:	Utility maximization \| Convex duality method \| Martingale measures

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Extent:	application/pdf
Series:	Global COE Hi-Stat Discussion Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008495550