Dual formulation of the utility maximization problem: The case of nonsmooth utility
B. Bouchard, N. Touzi, and A. Zeghal
Source: Ann. Appl. Probab. Volume 14, Number 2
(2004), 678-717.
Abstract
We study the dual formulation of the utility maximization problem in incomplete markets when the utility function is finitely valued on the whole real line. We extend the existing results in this literature in two directions. First, we allow for nonsmooth utility functions, so as to include the shortfall minimization problems in our framework. Second, we allow for the presence of some given liability or a random endowment. In particular, these results provide a dual formulation of the utility indifference valuation rule.
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Permanent link to this document: http://projecteuclid.org/euclid.aoap/1082737107
Digital Object Identifier: doi:10.1214/105051604000000062
Mathematical Reviews number (MathSciNet): MR2052898
Zentralblatt MATH identifier: 02100750
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