Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Dual formulation of the utility maximization problem : the case of nonsmooth utility


Code(s) de Classification MSC:

Résumé: 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. Secondly, 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.

Mots Clés: utility maximization ; incomplete markets ; convex duality

Date: 2002-03-15

Prépublication numéro: PMA-712

Pdf file : PMA-712.pdf