Utility maximization problem with random endowment and transaction costs: when wealth may become negative
نویسندگان
چکیده
منابع مشابه
Multivariate Utility Maximization with Proportional Transaction Costs and Random Endowment
In 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 [CO10] to the situation where the agent is initially endowed with a random and possibly unbounded quantity of assets. We st...
متن کاملMultivariate utility maximization with proportional transaction costs
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the currencies at a given terminal date. We prove the existence of an optimal portfolio process under the a...
متن کاملOptimal Investment in Incomplete Markets when Wealth may Become Negative
This paper accompanies a previous one [KS99] by D. Kramkov and the present author. While in [KS99] we considered utility functions U : R+ → R satisfying the Inada conditions U ′(0) = ∞ and U ′(∞) = 0, in the present paper we consider utility functions U : R → R which are finitely valued, for all x ∈ R, and satisfy U ′(−∞) =∞ and U ′(∞) = 0. A typical example of this situation is the exponential...
متن کاملDual formulation of the utility maximization problem under transaction costs
In the context of a general multi-variate financial market with transaction costs, we consider the problem of maximizing expected utility from terminal wealth. In contrast with the existing literature, where only the liquidation value of the terminal portfolio is relevant, we consider general utility functions which are only required to be consistent with the structure of the transaction costs....
متن کاملUtility maximization in incomplete markets with random endowment
This paper solves a long-standing open problem in mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete markets, and to characterize it via the associated dual problem. We show that this is indeed possible if the dual problem and its domain are carefully ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2016
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362994.2016.1241181