英文标题：
《On utility maximization without passing by the dual problem》
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作者：
Miklos Rasonyi
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最新提交年份：
2018
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英文摘要：
  We treat utility maximization from terminal wealth for an agent with utility function $U:\\mathbb{R}\\to\\mathbb{R}$ who dynamically invests in a continuous-time financial market and receives a possibly unbounded random endowment. We prove the existence of an optimal investment without introducing the associated dual problem. We rely on a recent result of Orlicz space theory, due to Delbaen and Owari which leads to a simple and transparent proof.   Our results apply to non-smooth utilities and even strict concavity can be relaxed. We can handle certain random endowments with non-hedgeable risks, complementing earlier papers. Constraints on the terminal wealth can also be incorporated.   As examples, we treat frictionless markets with finitely many assets and large financial markets.
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中文摘要：
我们将效用函数为U:\\mathbb{R}到\\mathbb{R}$的代理从终端财富中的效用最大化处理，该代理动态地投资于连续时间金融市场，并获得可能无限的随机捐赠。在不引入对偶问题的情况下，证明了最优投资的存在性。我们依赖于Orlicz空间理论的一个最新结果，这是由Delbaen和Owari得出的，它给出了一个简单而透明的证明。我们的结果适用于非光滑工具，甚至可以放宽严格的凹度。我们可以处理某些具有不可对冲风险的随机捐赠，这是对早期论文的补充。也可以纳入对终端财富的限制。作为例子，我们处理具有有限多资产的无摩擦市场和大型金融市场。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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