Utility maximization problem with random endowment and transaction costs: when wealth may become negative

作者：Lin Yiqing^*; Yang Junjian

来源：Stochastic Analysis and Applications, 2017, 35(2): 257-278.

DOI：10.1080/07362994.2016.1241181

• Utility maximization
• random endowment
• duality approach
• shadow price
• utility based pricing

In this article, we study the problem of maximizing expected utility from the terminal wealth with proportional transaction costs and random endowment. In the context of the existence of consistent price systems, we consider the duality between the primal utility maximization problem and the dual one, which is set up on the domain of finitely additive measures. In particular, we prove duality results for utility functions supporting possibly negative values. Moreover, we construct a shadow market by the dual optimal process and consider the utility-based pricing for random endowment.

• 出版日期2017