Convex duality and Orlicz spaces in expected utility maximization


We report further progress towards a complete theory of state-independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any technical assumptions we establish a... [ view full abstract ]


  1. Sara Biagini (LUISS, Rome)
  2. Aleš Černý (Cass Business School, City, University of London)

Topic Areas

Arbitrage Theory , Stochastic Analysis , Utility Theory


TU-A-BU » Arbitrage Theory (11:30 - Tuesday, 17th July, Burke Theater)

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