Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 2001 erstellt
Description:
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The notion of “asymptotic elasticity” of Kramkov and Schachermayer is extended to the time-dependent case. By imposing no smoothness requirements on the utility function in the temporal argument, we can treat both pure consumption and combined consumption/terminal wealth problems, in a common framework. To make the duality approach possible, we provide a detailed characterization of the enlarged dual domain which is reminiscent of the enlargement of to its topological bidual , a space of finitely-additive measures. As an application, we treat the case of a constrained Itô-process market-model, and prove that the optimal dual processes in this case are local martingales