REAL

Non-concave utility maximisation on the positive real axis in discrete time

Carassus, L and Rásonyi, Miklós and Rodrigues, A. M. (2015) Non-concave utility maximisation on the positive real axis in discrete time. MATHEMATICS AND FINANCIAL ECONOMICS, 9 (4). pp. 325-349. ISSN 1862-9679

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Abstract

We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios. © 2015, Springer-Verlag Berlin Heidelberg.

Item Type: Article
Uncontrolled Keywords: Optimal portfolio; Non-concave utility; INCOMPLETE MARKETS; Finite horizon; dynamic programming; Discrete-time models
Subjects: Q Science / természettudomány > QA Mathematics / matematika
Q Science / természettudomány > QA Mathematics / matematika > QA76 Computer software / programozás
SWORD Depositor: MTMT SWORD
Depositing User: MTMT SWORD
Date Deposited: 17 Nov 2015 08:51
Last Modified: 17 Nov 2015 08:51
URI: http://real.mtak.hu/id/eprint/30233

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