Optimal investments for the standard maximization problem with non-concave utility function in complete market model

DOI10.1007/s00186-022-00774-0zbMath1484.91413OpenAlexW4214496525MaRDI QIDQ2123128

Olena Bahchedjioglou, Georgiy M. Shevchenko

Publication date: 8 April 2022

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

Full work available at URL: https://doi.org/10.1007/s00186-022-00774-0

zbMATH Keywords

constrained optimizationnon-convex optimizationoptimal investmentnon-concave utilitystandard maximization problem

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Utility theory (91B16) Portfolio theory (91G10)

Related Items (1)

Minimax identity with robust utility functional for a nonconcave utility

Cites Work

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• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• A variational problem arising in economics
• Prospect Theory: An Analysis of Decision under Risk
• Duality theory for optimal investments under model uncertainty
• Optimal Investments for Robust Utility Functionals in Complete Market Models

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