Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
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Publication:2941471
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.
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Cited in
(23)- scientific article; zbMATH DE number 7329591 (Why is no real title available?)
- Optimal investment problem under behavioral setting: a Lagrange duality perspective
- Rationalizing investors' choices
- On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models
- Non-concave utility maximisation on the positive real axis in discrete time
- An explicit solution for optimal investment problems with autoregressive prices and exponential utility
- Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
- Optimal stopping investment with non-smooth utility over an infinite time horizon
- Maximin investment problems for discounted and total wealth
- Extended research on the optimal investment problem with rank-dependent utility
- Optimal investment with transaction costs under cumulative prospect theory in discrete time
- No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach
- Investment effects of pricing schemes for non-convex markets
- Optimal investment problem under non-extensive statistical mechanics
- Optimal investment strategies with bounded risks, general utilities, and goal achieving
- Optimal investments for the standard maximization problem with non-concave utility function in complete market model
- Skorohod's representation theorem and optimal strategies for markets with frictions
- Exact solutions and approximations for optimal investment strategies and indifference prices
- Existence of solutions in non-convex dynamic programming and optimal investment
- Optimality of myopic strategies for multi-stock discrete time market with management costs
- Optimal financial investments for non-concave utility functions
- Optimal investment under behavioural criteria -- a dual approach
- Optimization of investment returns with \(N\)-step utility functions
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