We study the dynamic utility indifference value process p(X) when the usefulness of X is evaluated via a dynamic monetary concave utility functional (DMCUF) instead of von Neumann/Morgenstern expected utility. A DMCUF is minus a dynamic convex risk measure. The key tools for our investigations...

We propose an approach to the valuation of payoffs in general semimartingale models of financial markets where prices are nonnegative. Each asset price can hit 0; we only exclude that this ever happens simultaneously for all assets. We start from two simple, economically motivated axioms, namely...

In a numéraire-independent framework, we study a financial market with N assets which are all treated in a symmetric way. We define the fundamental value *S of an asset S as its superreplication price and say that the market has a strong bubble if *S and S deviate from each other. None of these...

A classic paper of Borwein/Lewis (1991) studies optimisation problems over L^p_+ with finitely many linear equality constraints, given by scalar products with functions from L^q. One key result shows that if some x in L^p_+ satisfies the constraints and if the constraint functions are...