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

DOI10.1007/S00186-022-00774-0MaRDI QIDQ2123128zbMATH OpenOpenAlexFDO

Authors Olena Bahchedjioglou, G. 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-concave utilitynon-convex optimizationoptimal investmentstandard maximization problem

Mathematics Subject Classification ID

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

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Cites work

• A variational problem arising in economics
• Duality theory for optimal investments under model uncertainty
• scientific article; zbMATH DE number 4044567 (Why is no real title available?)
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• Optimum consumption and portfolio rules in a continuous-time model
• Prospect Theory: An Analysis of Decision under Risk
• Stochastic finance. An introduction in discrete time.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization with a given pricing measure when the utility is not necessarily concave

Cited in

(9)

• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Optimization of investment returns with N-step utility functions
• Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
• Optimal financial investments for non-concave utility functions
• A new approach to maximize the overall return on investment with price and stock dependent demand under the nonlinear holding cost
• An optimal investment problem with nonsmooth and nonconcave utility over a finite time horizon
• Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation†
• Non-concave expected utility optimization with uncertain time horizon
• Minimax identity with robust utility functional for a nonconcave utility

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