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Indifference price with general semimartingales
Indifference price - utility maximization – non locally bounded semimartingale –random endowment - incomplete market – Orlicz space – convex duality - convex risk measure
2010/11/1
For utility functions u finite valued on R, we prove a duality formula for utility maximization
with random endowment in general semimartingale incomplete markets. The main novelty of the paper is th...