Name
Title | ||
|---|---|---|
Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization. |
Abstract | ||
|---|---|---|
We continue the study of utility maximization in the nonsmooth setting and give a counterexample to a conjecture made in Deelstra
et al. (Ann. Appl. Probab. 11:1353–1383, 2001) on the optimality of random variables valued in an appropriate subdifferential. We derive minimal sufficient conditions
on a random variable for it to be a primal optimizer in the case where the utility function is not strictly concave. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1007/s00780-010-0128-6 | Finance and Stochastics |
Keywords | Field | DocType |
random variable | Mathematical economics,Random variable,Mathematical optimization,Convex duality,Subderivative,Utility maximization,Counterexample,Conjecture,Mathematics | Journal |
Volume | Issue | ISSN |
15 | 3 | 1432-1122 |
Citations | PageRank | References |
1 | 0.44 | 2 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Nicholas Westray | 1 | 1 | 0.78 |
| Harry Zheng | 2 | 28 | 9.30 |