Robust optimization of consumption with random endowment
نویسندگان
چکیده
منابع مشابه
Optimal Consumption from Investment and Random Endowment in Incomplete Semimartingale Markets
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The notion of “asymptotic elasticity” of Kramkov and Schachermayer is extended to the time-dependent case. By imposing no smoothness requirements on...
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15 صفحه اولErratum to: Utility maximization in incomplete markets with random endowment
K. Larsen, M. Soner, and G. Zitkovic kindly pointed out to us an error in our paper [1] which appeared in 2001 in this journal. They also provide an explicit counter-example in [4]. In Theorem 3.1 of [1] it was incorrectly claimed (among several other correct assertions) that the value function u(x) is continuously differentiable. The erroneous argument for this assertion is contained in Remark...
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ژورنال
عنوان ژورنال: Stochastics
سال: 2008
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442500701761347