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摘要翻译：
研究了随机禀赋条件下鲁棒效用最大化的凸对偶方法。当潜在价格过程是局部有界的半鞅时，我们证明了基本对偶关系对于整实线和无界随机禀赋上的一类广泛的效用函数成立。为了得到这个对偶性，我们证明了凸积分泛函的Rockafellar定理的一个鲁棒版本，并应用了Fenchel的一般对偶性定理。
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英文标题：
《Duality in Robust Utility Maximization with Unbounded Claim via a Robust
Extension of Rockafellar's Theorem》
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作者：
Keita Owari
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最新提交年份：
2011
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分类信息：
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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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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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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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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英文摘要：
We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a wide class of utility functions on the whole real line and unbounded random endowment. To obtain this duality, we prove a robust version of Rockafellar's theorem on convex integral functionals and apply Fenchel's general duality theorem.
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PDF链接：
https://arxiv.org/pdf/1101.2968
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