کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1157146 | 958945 | 2006 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Super-replication and utility maximization in large financial markets
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We study the problems of super-replication and utility maximization from terminal wealth in a semimartingale model with countably many assets. After introducing a suitable definition of admissible strategy, we characterize superreplicable contingent claims in terms of martingale measures. Utility maximization problems are then studied with the convex duality method, and we extend finite-dimensional results to this setting. The existence of an optimizer is proved in a suitable class of generalized strategies: this class has also the property that maximal expected utility is the limit of maximal expected utilities in finite-dimensional submarkets. Finally, we illustrate our results with some examples in infinite dimensional factor models.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 115, Issue 12, December 2005, Pages 2006–2022
Journal: Stochastic Processes and their Applications - Volume 115, Issue 12, December 2005, Pages 2006–2022
نویسندگان
M. De Donno, P. Guasoni, M. Pratelli,