In this paper, we report further progress toward a complete theory of state‐independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any technical assumptions, we establish a surprising Fenchel duality result on conjugate Orlicz spaces, offering a new economic insight into the nature of primal optima and providing a fresh perspective on the classical papers of Kramkov and Schachermayer. The analysis points to an intriguing interplay between no‐arbitrage conditions and standard convex optimization and motivates the study of the fundamental theorem of asset pricing for Orlicz tame strategies.

Convex duality and Orlicz spaces in expected utility maximization / Biagini, Sara; Cerny, Ales. - In: MATHEMATICAL FINANCE. - ISSN 0960-1627. - 30:1(2020), pp. 85-127. [10.1111/mafi.12209]

Convex duality and Orlicz spaces in expected utility maximization

Sara Biagini
;
2020

Abstract

In this paper, we report further progress toward a complete theory of state‐independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any technical assumptions, we establish a surprising Fenchel duality result on conjugate Orlicz spaces, offering a new economic insight into the nature of primal optima and providing a fresh perspective on the classical papers of Kramkov and Schachermayer. The analysis points to an intriguing interplay between no‐arbitrage conditions and standard convex optimization and motivates the study of the fundamental theorem of asset pricing for Orlicz tame strategies.
2020
Convex duality and Orlicz spaces in expected utility maximization / Biagini, Sara; Cerny, Ales. - In: MATHEMATICAL FINANCE. - ISSN 0960-1627. - 30:1(2020), pp. 85-127. [10.1111/mafi.12209]
File in questo prodotto:
File Dimensione Formato  
BiaginiCerny_GUT_v35.pdf

Solo gestori archivio

Tipologia: Documento in Post-print
Licenza: DRM (Digital rights management) non definiti
Dimensione 818.25 kB
Formato Adobe PDF
818.25 kB Adobe PDF   Visualizza/Apri
Pubblicazioni consigliate

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/182492
Citazioni
  • Scopus 4
  • ???jsp.display-item.citation.isi??? 4
  • OpenAlex ND
social impact