Geodesic
Dual robust utility maximization problem
Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2022), pp. 15-21 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

We consider the robust utility maximization problem with a random endowment in an abstract financial market model. Assuming that the utility function is finite on the half-line, we derive the dual characterization of this problem. 
@article{VMUMM_2022_4_a1,
     author = {A. A. Farvazova},
     title = {Dual robust utility maximization problem},
     journal = {Vestnik Moskovskogo universiteta. Matematika, mehanika},
     pages = {15--21},
     year = {2022},
     number = {4},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VMUMM_2022_4_a1/}
}
TY  - JOUR
AU  - A. A. Farvazova
TI  - Dual robust utility maximization problem
JO  - Vestnik Moskovskogo universiteta. Matematika, mehanika
PY  - 2022
SP  - 15
EP  - 21
IS  - 4
UR  - http://geodesic.mathdoc.fr/item/VMUMM_2022_4_a1/
LA  - ru
ID  - VMUMM_2022_4_a1
ER  - 
%0 Journal Article
%A A. A. Farvazova
%T Dual robust utility maximization problem
%J Vestnik Moskovskogo universiteta. Matematika, mehanika
%D 2022
%P 15-21
%N 4
%U http://geodesic.mathdoc.fr/item/VMUMM_2022_4_a1/
%G ru
%F VMUMM_2022_4_a1
A. A. Farvazova. Dual robust utility maximization problem. Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 4 (2022), pp. 15-21. http://geodesic.mathdoc.fr/item/VMUMM_2022_4_a1/

[1] Rosenberg R., “Orlicz spaces based on families of measures”, Stud. Math., 35 (1970), 15–49 | DOI | MR | Zbl

[2] Biagini S., Černý A., “Convex duality and Orlicz spaces in expected utility maximization”, Math. Finance, 30:1 (2020), 85–127 | DOI | MR | Zbl

[3] Guschin A. A., “Dvoistvennaya kharakterizatsiya tseny v zadache maksimizatsii robastnoi poleznosti”, Teoriya veroyatn. i ee primen., 55:4 (2010), 680–704

[4] Khasanov R. V., “O zadache maksimizatsii poleznosti v sluchae neogranichennogo sluchainogo vklada”, Vestn. Mosk. un-ta. Matem. Mekhan., 2013, no. 3, 10–21 | Zbl

[5] Yosida K., Hewitt E., “Finitely additive measures”, Trans. Amer. Math. Soc., 72:1 (1952), 46–66 | DOI | MR | Zbl

[6] Guschin A. A., “O rasshirenii ponyatiya f-divergentsii”, Teoriya veroyatn. i ee primen., 52:3 (2007), 468–489 | MR

[7] Rao M. M., Ren Z. D., Theory of Orlicz Spaces, Marcel Dekker, N.Y., 1991 | MR | Zbl

[8] Brezis H., Functional Analysis, Sobolev Spaces and Partial Differential Equations, Universitext, Springer, N.Y., 2011 | MR | Zbl

[9] Rockafellar R. T., “Integrals which are convex functionals, 1”, Pacif. J. Math., 24:3 (1968), 525–539 | DOI | MR | Zbl

[10] Rockafellar R. T., “Integrals which are convex functionals, 2”, Pacif. J. Math., 39:2 (1971), 439–469 | DOI | MR | Zbl