Non-concave utility maximisation on the positive real axis in discrete time
Mathematical Finance
2015-04-23 v2
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.
Cite
@article{arxiv.1501.03123,
title = {Non-concave utility maximisation on the positive real axis in discrete time},
author = {Laurence Carassus and Miklós Rásonyi and Andrea M. Rodrigues},
journal= {arXiv preprint arXiv:1501.03123},
year = {2015}
}
Comments
20 pages