Utility maximization problem with random endowment and transaction costs: when wealth may become negative
Yiqing Lin and
Papers from arXiv.org
In this paper we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality between the primal utility maximization problem and the dual one, which is set up on the domain of finitely additive measures. In particular, we prove duality results for utility functions supporting possibly negative values. Moreover, we construct the shadow market by the dual optimal process and consider the utility based pricing for random endowment.
Date: 2016-04, Revised 2016-09
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1604.08224 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1604.08224
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().