Non-convex dynamic programming and optimal investment
Optimization and Control
2015-04-09 v1 Probability
Abstract
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization without assuming either convexity or coercivity of the objective function. We apply this to prove the existence of optimal portfolios for non-concave utility maximization problems in financial market models with frictions (such as illiquidity), a first result of its kind. The proofs are based on the dynamic programming principle whose validity is established under quite general assumptions.
Cite
@article{arxiv.1504.01903,
title = {Non-convex dynamic programming and optimal investment},
author = {Teemu Penannen and Ari-Pekka Perkkiö and Miklós Rásonyi},
journal= {arXiv preprint arXiv:1504.01903},
year = {2015}
}
Comments
15 pages