Utility maximization in incomplete markets with random endowment
This paper solves a long-standing open problem in mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete markets, and to characterize it via the associated dua...
| Main Authors: | , , |
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| Format: | Others |
| Language: | en |
| Published: |
SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
2000
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| Subjects: | |
| Online Access: | http://epub.wu.ac.at/518/1/document.pdf |