The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a nancial market. We show that the necessary andâ€¦ (More)

Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validityâ€¦ (More)

Motivated by a hedging problem in mathematical Â®nance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for allâ€¦ (More)

In this paper, we study the problem of expected utility maximization of an agent who, in addition to an initial capital, receives random endowments at maturity. Contrary to previous studies, we treatâ€¦ (More)

We study the uniqueness of the utility based price of contingent claims in a semimartingale model of incomplete financial market. In particular, we obtain that a necessary and sufficient conditionâ€¦ (More)

We study the two-times differentiability of the value functions of the primal and dual optimization problems that appear in the setting of expected utility maximization in incomplete markets. We alsoâ€¦ (More)

We study the linear approximation of utility-based hedging strategies for small number of contingent claims. We show that this approximation is actually a mean-variance hedging strategy under anâ€¦ (More)

In the general framework of a semimartingale financial model and a utility function U defined on the positive real line, we compute the firstorder expansion of marginal utility-based prices withâ€¦ (More)

Let Q and P be equivalent probability measures and let Ïˆ be a Jdimensional vector of random variables such that dQ dP and Ïˆ are defined in terms of a weak solution X to a d-dimensional stochasticâ€¦ (More)

We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of aâ€¦ (More)