Optimal financial investments for non-concave utility functions

DOI10.1016/J.ECONLET.2011.10.029MaRDI QIDQ429148zbMATH OpenOpenAlexFDO

Authors Marc Oliver Rieger

Publication date 26 June 2012

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2011.10.029

zbMATH Keywords

prospect theorynon-concave utility functionoptimal investments

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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Cites work

• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory: An Analysis of Decision under Risk
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Cited in

(19)

• Entrepreneurial decisions on effort and project with a nonconcave objective function
• Comparing financial investments by their state dependent returns: A one-way log utility representation
• On the analyticity of the value function in optimal investment and stochastically dominant markets
• Extended research on the optimal investment problem with rank-dependent utility
• Co-monotonicity of optimal investments and the design of structured financial products
• Investment effects of pricing schemes for non-convex markets
• Utility maximization with a given pricing measure when the utility is not necessarily concave
• Optimal investments for the standard maximization problem with non-concave utility function in complete market model
• Interval optimization problems for financial investment and its real-world applications
• Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
• Efficient non-contractible investments in large economies.
• A convergence of optimal investment strategies for the HARA utility functions
• Optimal Utilization of Capital and a Financial Sector in a Classical Gravitation Process
• Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
• Can utility optimization explain the demand for structured investment products?
• Utility maximization under trading constraints with discontinuous utility
• Behavioral portfolio selection: asymptotics and stability along a sequence of models
• Non-concave expected utility optimization with uncertain time horizon
• Optimization of investment returns with \(N\)-step utility functions

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