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Multivariate utility maximization with proportional transaction costs and random endowment

dc.contributor.authorBenedetti, Giuseppe
dc.contributor.authorCampi, Luciano
dc.date.accessioned2011-04-18T09:22:12Z
dc.date.available2011-04-18T09:22:12Z
dc.date.issued2012
dc.identifier.issn0363-0129
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5980
dc.language.isoenen
dc.subjectUtility-based pricing
dc.subjectDuality theory
dc.subjectMultivariate utility function
dc.subjectOptimal portfolio
dc.subjectRandom endowment
dc.subjectForeign exchange market
dc.subjectTransaction costs
dc.subject.ddc332en
dc.subject.classificationjelG11en
dc.titleMultivariate utility maximization with proportional transaction costs and random endowment
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST) INSEE – École Nationale de la Statistique et de l'Administration Économique;France
dc.description.abstractenIn this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011) to the situation where the agent is initially endowed with a random and possibly unbounded quantity of assets. We start by studying some basic properties of the value function (which is now defined on a space of random variables), then we dualize the problem following some convex analysis techniques which have proven very useful in this field of research. We finally prove the existence of a solution to the dual and (under an additional boundedness assumption on the endowment) to the primal problem. The last section of the paper is devoted to an application of our results to utility indifference pricing.
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol50
dc.relation.isversionofjnlissue3
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages1283-1308
dc.relation.isversionofdoihttp://dx.doi.org/10.1137/110831064
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2017-01-20T09:40:16Z


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