Arbeitspapier
Utility Maximization and Duality
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic utility. The relationship between the optimal portfolio, the optimal martingale measure in the dual problem and the optimal value function of the problem is described by an BSDE. For a totally unhedgeable price for instan- taneous risk, isoelastic utility of terminal wealth can be maximized using a portfolio consisting of the locally risk-free bond and a lo- cally efficient fund only. In a markovian market model we find a non-linear PDE for the logarithm of the value function. From the solution we can construct the optimal portfolio and the solution of the dual problem.
- Language
-
Englisch
- Bibliographic citation
-
Series: CoFE Discussion Paper ; No. 00/34
- Classification
-
Wirtschaft
- Subject
-
Erwartungsnutzen
Portfolio-Management
Hedging
Analysis
Stochastischer Prozess
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Leitner, Johannes
- Event
-
Veröffentlichung
- (who)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (where)
-
Konstanz
- (when)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-6176
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Leitner, Johannes
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Time of origin
- 2000
Other Objects (12)
Experimental test of utility maximization
CRRA utility maximization under risk constraints
Recommendation based on multiproduct utility maximization
Forward-backward systems for expected utility maximization
Robust maximization of consumption with logarithmic utility
Robust utility maximization in a stochastic factor model
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
A Geometric Measure for the Violation of Utility Maximization
A Dynamic Utility Maximization Model for Product Category Consumption
Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection
The ultimatum game and expected utility maximization: In view of attachment theory
Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM
Experimental test of utility maximization
CRRA utility maximization under risk constraints
Recommendation based on multiproduct utility maximization
Forward-backward systems for expected utility maximization
Robust maximization of consumption with logarithmic utility
Robust utility maximization in a stochastic factor model
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
A Geometric Measure for the Violation of Utility Maximization
A Dynamic Utility Maximization Model for Product Category Consumption
Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection
The ultimatum game and expected utility maximization: In view of attachment theory
Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM
Experimental test of utility maximization
CRRA utility maximization under risk constraints
Recommendation based on multiproduct utility maximization
Forward-backward systems for expected utility maximization
Robust maximization of consumption with logarithmic utility
Robust utility maximization in a stochastic factor model
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
A Geometric Measure for the Violation of Utility Maximization
A Dynamic Utility Maximization Model for Product Category Consumption
Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection
The ultimatum game and expected utility maximization: In view of attachment theory