Existence of solutions in non-convex dynamic programming and optimal investment
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Publication:513744
DOI10.1007/S11579-016-0176-6zbMATH Open1401.90255arXiv1504.01903OpenAlexW2462848737MaRDI QIDQ513744FDOQ513744
Authors: Teemu Pennanen, Ari-Pekka Perkkiö, Miklós Rásonyi 
Publication date: 7 March 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Abstract: We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization without assuming either convexity or coercivity of the objective function. We apply this to prove the existence of optimal portfolios for non-concave utility maximization problems in financial market models with frictions (such as illiquidity), a first result of its kind. The proofs are based on the dynamic programming principle whose validity is established under quite general assumptions.
Full work available at URL: https://arxiv.org/abs/1504.01903
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