Mathematical Finance

Convex duality and Orlicz spaces in expected utility maximization

Early View

Abstract In this paper, we report further progress toward a complete theory of state‐independent expected utility maximization with semimartingale price processes for arbitrary utility function. Without any technical assumptions, we establish a surprising Fenchel duality result on conjugate Orlicz spaces, offering a new economic insight into the nature of primal optima and providing a fresh perspective on the classical papers of Kramkov and Schachermayer. The analysis points to an intriguing interplay between no‐arbitrage conditions and standard convex optimization and motivates the study of the fundamental theorem of asset pricing for Orlicz tame strategies.

Related Topics

Related Publications

Related Content

Site Footer

Address:

This website is provided by John Wiley & Sons Limited, The Atrium, Southern Gate, Chichester, West Sussex PO19 8SQ (Company No: 00641132, VAT No: 376766987)

Published features on StatisticsViews.com are checked for statistical accuracy by a panel from the European Network for Business and Industrial Statistics (ENBIS)   to whom Wiley and StatisticsViews.com express their gratitude. This panel are: Ron Kenett, David Steinberg, Shirley Coleman, Irena Ograjenšek, Fabrizio Ruggeri, Rainer Göb, Philippe Castagliola, Xavier Tort-Martorell, Bart De Ketelaere, Antonio Pievatolo, Martina Vandebroek, Lance Mitchell, Gilbert Saporta, Helmut Waldl and Stelios Psarakis.