• français
    • English
  • English 
    • français
    • English
  • Login
JavaScript is disabled for your browser. Some features of this site may not work without it.
BIRD Home

Browse

This CollectionBy Issue DateAuthorsTitlesSubjectsJournals BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesSubjectsJournals

My Account

Login

Statistics

View Usage Statistics

Dual Formulation of the Utility Maximization Problem : the case of Nonsmooth Utility

Thumbnail
Date
2004
Link to item file
http://projecteuclid.org/euclid.aoap/1082737107
Dewey
Probabilités et mathématiques appliquées
Sujet
convex duality; incomplete markets; Utility maximization
JEL code
D52
Journal issue
The Annals of Applied Probability
Volume
14
Number
2
Publication date
2004
Article pages
678-717
Publisher
Institute of Mathematical Statistics
DOI
http://dx.doi.org/10.1214/105051604000000062
URI
https://basepub.dauphine.fr/handle/123456789/1531
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Zhegal, Amina
Touzi, Nizar
Bouchard, Bruno
Type
Article accepté pour publication ou publié
Abstract (EN)
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the shortfall minimization problems in our framework. Second, we allow for the presence of some given liability or a random endowment. In particular, these results provide a dual formulation of the utility indifference valuation rule.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Content on this site is licensed under a Creative Commons 2.0 France (CC BY-NC-ND 2.0) license.