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dc.contributor.authorZhegal, Amina
dc.contributor.authorTouzi, Nizar
dc.contributor.authorBouchard, Bruno
dc.date.accessioned2009-09-09T14:12:29Z
dc.date.available2009-09-09T14:12:29Z
dc.date.issued2004
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/1531
dc.language.isoenen
dc.subjectconvex dualityen
dc.subjectincomplete marketsen
dc.subjectUtility maximizationen
dc.subject.ddc519en
dc.subject.classificationjelD52
dc.titleDual Formulation of the Utility Maximization Problem : the case of Nonsmooth Utilityen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameThe Annals of Applied Probability
dc.relation.isversionofjnlvol14en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2004
dc.relation.isversionofjnlpages678-717en
dc.relation.isversionofdoihttp://dx.doi.org/10.1214/105051604000000062en
dc.identifier.urlsitehttp://projecteuclid.org/euclid.aoap/1082737107en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statisticsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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