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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Official URL: https://dx.doi.org/10.1007/s11579-015-0146-4
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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