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Identifier to cite or link to this item: https://hdl.handle.net/10086/17756

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Title
A Note on Utility Maximization with Unbounded Random Endowment
Creator
Creator Name
Keita, Owari Keita, Owari
尾張, 圭太 尾張, 圭太
オワリ, ケイタ オワリ, ケイタ
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Key Word
Utility maximization
Convex duality method
Martingale measures
Abstract
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.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2009-10
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Global COE Hi-Stat Discussion Paper Series ; No. 91
Relation
Related Identifier
URI
  http://gcoe.ier.hit-u.ac.jp/english/index.html
Number of Pages
12
Sponsorship
グローバルCOEプログラム = Global COE Program
Appears in Collections
Global COE Hi-Stat Discussion Paper Series
URL
https://hdl.handle.net/10086/17756