Facelifting in utility maximization
Facelifting in utility maximization
复制标题
效用最大化中的整容
DOI：
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发表时间：
2014
影响因子：
1.7
通讯作者：
Gordan Zitkovic
中科院分区：
文献类型：
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作者：
Kasper Larsen;H. Soner;Gordan Zitkovic
我们建立了不完全半令牌驱动的金融市场中效用最大化的原始和完全对偶改形的存在性和特征。与下面和上面的套期保值问题不同，有些出人意料的是，在效用最大化中，尽管目标函数是严格的凸性，但仍然存在面貌的改变。除了讨论我们在自然的马尔可夫环境中的结果外，我们还使用它们来证明在各种各样的情况下，在可数可加(鞅)度量集中找不到对偶优化器。
We establish the existence and characterization of a primal and a dual facelift—discontinuity of the value function at the terminal time—for utility maximization in incomplete semimartingale-driven financial markets. Unlike in the lower and upper hedging problems, and somewhat unexpectedly, a facelift turns out to exist in utility maximization despite strict convexity in the objective function. In addition to discussing our results in their natural, Markovian environment, we also use them to show that the dual optimizer cannot be found in the set of countably additive (martingale) measures in a wide variety of situations.