No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach

DOI10.1007/s00186-018-0635-3zbMath1417.91440OpenAlexW2789665910MaRDI QIDQ1616836

Romain Blanchard, Laurence Carassus, Miklós Rásonyi

Publication date: 7 November 2018

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://real.mtak.hu/90166/1/1602.06685.pdf

zbMATH Keywords

optimal investmentno-arbitrage conditionnon-concave utility functions

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

No-arbitrage with multiple-priors in discrete time

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