Blanchard, Romain and Carassus, Laurence and Rásonyi, Miklós (2018) No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach. MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 88 (2). pp. 241-281. ISSN 1432-2994
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Abstract
We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterisation of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors. © 2018 Springer-Verlag GmbH Germany, part of Springer Nature
| Item Type: | Article |
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| Additional Information: | First Online: 16 March 2018 Funding Agency and Grant Number: LPSM [UMR 7599]; "Lendulet" Grant of Hungarian Academy of Sciences [LP2015-6]; NKFIH (National Research, Development and Innovation Office, Hungary) [KH 126505] Funding text: We thank an anonymous referee for valuable comments. L. Carassus thanks LPSM (UMR 7599) for support. M. Rasonyi was supported by the "Lendulet" Grant LP2015-6 of the Hungarian Academy of Sciences and by the NKFIH (National Research, Development and Innovation Office, Hungary) Grant KH 126505. |
| Uncontrolled Keywords: | dynamic programming; Theoretical approach; Commerce; Investments; Financial markets; Programming framework; OPTIMAL INVESTMENT; Optimal investments; Non-concave utility function; Finite time horizon; Non-concave utility functions; Optimal portfolio strategy; No arbitrage; Measurable selections; No-arbitrage condition; |
| Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 18 Jan 2019 11:12 |
| Last Modified: | 18 Jan 2019 11:12 |
| URI: | http://real.mtak.hu/id/eprint/90166 |
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