On utility maximization in discrete-time financial market models

DOI10.1214/105051605000000089zbMath1137.93423arXivmath/0505243OpenAlexW3104841051MaRDI QIDQ558678

Miklós Rásonyi, Łukasz Stettner

Publication date: 13 July 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0505243

zbMATH Keywords

utility maximizationmartingale measuresasymptotic elasticity of utility functions

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (35)

No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach ⋮ Maximizing expected utility in the arbitrage pricing model ⋮ Convergence of utility indifference prices to the superreplication price ⋮ Multiple-priors optimal investment in discrete time for unbounded utility function ⋮ Optimal Investment with Nonconcave Utilities in Discrete-Time Markets ⋮ Stochastic programs without duality gaps ⋮ How non-arbitrage, viability and numéraire portfolio are related ⋮ Convergence of optimal expected utility for a sequence of binomial models ⋮ Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets ⋮ Mean‐ portfolio selection and ‐arbitrage for coherent risk measures ⋮ Additive habit formation: consumption in incomplete markets with random endowments ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance ⋮ Service center location problems with decision dependent utilities and a pandemic case study ⋮ Construction of discrete time shadow price ⋮ Risk-averse asymptotics for reservation prices ⋮ Unnamed Item ⋮ Optimal portfolio choice for a behavioural investor in continuous-time markets ⋮ Convex duality in optimal investment under illiquidity ⋮ No-arbitrage with multiple-priors in discrete time ⋮ Non-concave utility maximisation on the positive real axis in discrete time ⋮ Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ FTAP in finite discrete time with transaction costs by utility maximization ⋮ ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS ⋮ Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns ⋮ Continuity of utility maximization under weak convergence ⋮ The financial value of knowing the distribution of stock prices in discrete market models ⋮ Convergence of utility indifference prices to the superreplication price: the whole real line case ⋮ UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME ⋮ Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models ⋮ Utility Maximization with Proportional Transaction Costs Under Model Uncertainty ⋮ Duality and optimality conditions in stochastic optimization and mathematical finance ⋮ Risk-neutral pricing for arbitrage pricing theory ⋮ Market viability and martingale measures under partial information ⋮ OPTIMAL INVESTMENT AND CONTINGENT CLAIM VALUATION WITH EXPONENTIAL DISUTILITY UNDER PROPORTIONAL TRANSACTION COSTS

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