Orateur
Dr
Yiqing LIN
(University of Vienna)
Description
We study the dual problem of the expected utility maximization in incomplete markets with bounded random endowment. We start with the duality results of [Cvitanic-Schachermayer-Wang, 2001], in which the optimal strategy is obtained by first formulating and solving a dual problem. We observe that: in the Brownian framework, the countably additive part $Q^r$ of the dual optimizer $Q\in (L^\infty)^*$ in the settings of [Cvitanic-Schachermayer-Wang, 2001] can be represented by the terminal value of a supermartingale deflator $Y$ defined in [Kramkov-Schachermayer, 1999], which moreover is a local martingale.
Auteur principal
Dr
Yiqing LIN
(University of Vienna)
Co-auteurs
M.
Junjian YANG
(University of Vienna)
Mme
Lingqi Gu
(University of Vienna)
