On utility maximization in discrete-time financial market models
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Publication:558678
DOI10.1214/105051605000000089zbMATH Open1137.93423arXivmath/0505243OpenAlexW3104841051MaRDI QIDQ558678FDOQ558678
Authors: Miklós Rásonyi, Łukasz Stettner 
Publication date: 13 July 2005
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.
Full work available at URL: https://arxiv.org/abs/math/0505243
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Martingales with discrete parameter (60G42) Portfolio theory (91G10) Utility theory (91B16) Optimal stochastic control (93E20)
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Cited In (51)
- On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models
- On optimal investment for a behavioral investor in multiperiod incomplete market models
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