Optimal financial investments for non-concave utility functions

DOI10.1016/J.ECONLET.2011.10.029zbMATH Open1241.91108OpenAlexW3125724818MaRDI QIDQ429148FDOQ429148

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

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zbMATH Keywords

prospect theorynon-concave utility functionoptimal investments

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (14)

• Can utility optimization explain the demand for structured investment products?
• Non-concave expected utility optimization with uncertain time horizon
• Investment effects of pricing schemes for non-convex markets
• Interval optimization problems for financial investment and its real-world applications
• Behavioral portfolio selection: asymptotics and stability along a sequence of models
• Optimization of investment returns with \(N\)-step utility functions
• Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
• Optimal Utilization of Capital and a Financial Sector in a Classical Gravitation Process
• Efficient non-contractible investments in large economies.
• Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function
• Utility Maximization Under Trading Constraints with Discontinuous Utility
• Comparing financial investments by their state dependent returns: A one-way log utility representation
• A convergence of optimal investment strategies for the HARA utility functions
• Utility maximization with a given pricing measure when the utility is not necessarily concave

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