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A Note on Utility Maximization with Unbounded Random Endowment

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Abstract

This paper addresses the applicability of the convex duality method for utility maximization, in the presence of random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true, for a wide class of utility functions and unbounded random endowments. We show this duality by exploiting Rockafellar’s theorem on integral functionals, to a random utility function.

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Authors and Affiliations

  1. Graduate School of Economics, Hitotsubashi University, 2-1 Naka, Kunitachi, Tokyo, 186-8601, Japan

    Keita Owari

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  1. Keita Owari
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Correspondence to Keita Owari.

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Owari, K. A Note on Utility Maximization with Unbounded Random Endowment. Asia-Pac Financ Markets 18, 89–103 (2011). https://doi.org/10.1007/s10690-010-9122-4

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  • DOI: https://doi.org/10.1007/s10690-010-9122-4

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