{"paper":{"title":"Dynamic robust duality in utility maximization","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC"],"primary_cat":"q-fin.PM","authors_text":"Agn\\`Es Sulem, Bernt {\\O}ksendal","submitted_at":"2013-04-18T07:46:12Z","abstract_excerpt":"A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities:\n  (i) The optimal terminal wealth $X^*(T) : = X_{\\varphi^*}(T)$ of the problem to maximize the expected $U$-utility of the terminal wealth $X_{\\varphi}(T)$ generated by admissible portfolios $\\varphi(t), 0 \\leq t \\leq T$ in a market with the risky asset price process modeled as a semimartingale;\n  (ii) The optimal scenario $\\frac{dQ^*}{dP}$ of the dual problem to minimize the expected $V$-value of $\\frac{dQ}{dP}$ over a family of equivalent local martingale measures $Q$,"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1304.5040","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}