1-4 September 2015
Angers - France
Europe/Paris timezone

On the dual problem of utility maximization in incomplete markets

2 Sep 2015, 14:50
40m
Angers - France

Angers - France

Speaker

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.

Primary author

Dr Yiqing LIN (University of Vienna)

Co-authors

Mr Junjian YANG (University of Vienna) Mrs Lingqi Gu (University of Vienna)

Presentation Materials