Pennanen, T. and Perkkiö, A-P. and Rásonyi, Miklós (2017) Existence of solutions in non-convex dynamic programming and optimal investment. MATHEMATICS AND FINANCIAL ECONOMICS. pp. 1-16. ISSN 1862-9679 (In Press)
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Abstract
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization in finite discrete time without assuming either convexity or coercivity of the objective function. We apply this to prove the existence of optimal investment strategies for non-concave utility maximization problems in financial market models with frictions, a first result of its kind. The proofs are based on the dynamic programming principle whose validity is established under quite general assumptions. © 2016 Springer-Verlag Berlin Heidelberg
| Item Type: | Article |
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| Uncontrolled Keywords: | Non-convex optimization; Non-concave utility functions; Market frictions; Illiquidity; dynamic programming |
| Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 03 Jan 2017 13:05 |
| Last Modified: | 03 Jan 2017 13:05 |
| URI: | http://real.mtak.hu/id/eprint/44148 |
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