摘要翻译：
对于$\mathbb{R}$上的效用函数$u$有限值，我们证明了一般半鞅不完全市场中具有随机禀赋的效用最大化的对偶公式。本文的主要创新之处在于允许非局部有界的半区间价格过程。根据Biagini和Frittelli\cite{BiaFri06},本文的分析是基于与实用函数自然相关的Orlicz空间$(L^{\widehat{u}},(L^{\widehat{u}}）^*)$之间的对偶。该公式使索赔$B$的无差别价格$\pi(B)$满足比文献中假定的条件更弱的几个关键性质。特别地，无差异价格泛函$\pi$除了符号外，还是Orlicz空间$l^{\widehat{u}}$上的凸风险测度。
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英文标题：
《Indifference price with general semimartingales》
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作者：
Sara Biagini, Marco Frittelli, Matheus R. Grasselli
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  For utility functions $u$ finite valued on $\mathbb{R}$, we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper is that possibly non locally bounded semimartingale price processes are allowed. Following Biagini and Frittelli \cite{BiaFri06}, the analysis is based on the duality between the Orlicz spaces $(L^{\widehat{u}}, (L^{\widehat{u}})^*)$ naturally associated to the utility function. This formulation enables several key properties of the indifference price $\pi(B)$ of a claim $B$ satisfying conditions weaker than those assumed in literature. In particular, the indifference price functional $\pi$ turns out to be, apart from a sign, a convex risk measure on the Orlicz space $L^{\widehat{u}}$.
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PDF链接：
https://arxiv.org/pdf/0905.4657