Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
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Publication:2941471
DOI10.1137/140985184zbMATH Open1318.93105OpenAlexW874258458MaRDI QIDQ2941471FDOQ2941471
Authors: Miklós Rásonyi 
Publication date: 28 August 2015
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Abstract: We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of infinite losses is infinite and her utility function is non-decreasing, continuous and bounded above. The same result is shown for cumulative prospect theory preferences, under additional assumptions.
Full work available at URL: https://arxiv.org/abs/1409.2023
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Decision theory (91B06) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)
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Cited In (23)
- On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models
- Optimal investment under behavioural criteria -- a dual approach
- Optimal investments for the standard maximization problem with non-concave utility function in complete market model
- Title not available (Why is that?)
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- Optimal stopping investment with non-smooth utility over an infinite time horizon
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- Optimal investment with transaction costs under cumulative prospect theory in discrete time
- Optimal financial investments for non-concave utility functions
- Optimality of myopic strategies for multi-stock discrete time market with management costs
- Skorohod's representation theorem and optimal strategies for markets with frictions
- Existence of solutions in non-convex dynamic programming and optimal investment
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