On utility maximization in discrete-time financial market models
From MaRDI portal
(Redirected from Publication:558678)
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.
Recommendations
- On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models
- Maximization of nonconcave utility functions in discrete-time financial market models
- On utility maximization under model uncertainty in discrete‐time markets
- Convergence of optimal strategies in a discrete time market with finite horizon
- Utility maximization under model uncertainty in discrete time
Cites work
- scientific article; zbMATH DE number 1619455 (Why is no real title available?)
- scientific article; zbMATH DE number 3778409 (Why is no real title available?)
- scientific article; zbMATH DE number 3456236 (Why is no real title available?)
- scientific article; zbMATH DE number 3538599 (Why is no real title available?)
- scientific article; zbMATH DE number 1222796 (Why is no real title available?)
- scientific article; zbMATH DE number 1786127 (Why is no real title available?)
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- A super-martingale property of the optimal portfolio process
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- Convex analysis and measurable multifunctions
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Equivalent martingale measures and no-arbitrage
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Introduction to a theory of value coherent with the no-arbitrage principle
- Local martingales and the fundamental asset pricing theorems in the discrete-time case
- Measurable Selection and Dynamic Programming
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- No arbitrage in discrete time under portfolio constraints.
- ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- Optimal investment in incomplete markets when wealth may become negative.
- Portfolio optimization and martingale measures
- Price systems constructed by optimal dynamic portfolios.
- The Dalang-Morton-Willinger theorem under cone constraints.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The fundamental theorem of asset pricing with cone constraints
- The minimal entropy martingale measure and the valuation problem in incomplete markets
Cited in
(51)- scientific article; zbMATH DE number 1413858 (Why is no real title available?)
- 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
- Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers
- Multiple-priors optimal investment in discrete time for unbounded utility function
- Arbitrage concepts under trading restrictions in discrete-time financial markets
- Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
- Service center location problems with decision dependent utilities and a pandemic case study
- Robust utility maximization in discrete-time markets with friction
- Utility maximization with proportional transaction costs under model uncertainty
- Stochastic programs without duality gaps
- Maximization of nonconcave utility functions in discrete-time financial market models
- No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach
- Maximizing expected utility in the arbitrage pricing model
- Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs
- Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing
- Continuity of utility maximization under weak convergence
- Market viability and martingale measures under partial information
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Additive habit formation: consumption in incomplete markets with random endowments
- On optimal strategies for utility maximizers in the arbitrage pricing model
- FTAP in finite discrete time with transaction costs by utility maximization
- Utility maximization under model uncertainty in discrete time
- Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
- On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution
- Price systems constructed by optimal dynamic portfolios.
- Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework
- Optimal portfolio choice for a behavioural investor in continuous-time markets
- Optimal Investment with Nonconcave Utilities in Discrete-Time Markets
- Utility maximization in models with conditionally independent increments
- On utility maximization with random interval payoffs
- How non-arbitrage, viability and numéraire portfolio are related
- scientific article; zbMATH DE number 5856148 (Why is no real title available?)
- scientific article; zbMATH DE number 7733457 (Why is no real title available?)
- Duality and optimality conditions in stochastic optimization and mathematical finance
- No-arbitrage with multiple-priors in discrete time
- Construction of discrete time shadow price
- The financial value of knowing the distribution of stock prices in discrete market models
- Convex duality in optimal investment under illiquidity
- Risk-averse asymptotics for reservation prices
- On utility maximization problem in general model of complete market
- Utility maximization in an illiquid market
- Convergence of utility indifference prices to the superreplication price
- Non-concave utility maximisation on the positive real axis in discrete time
- Utility maximization in a jump market model
- Convergence of utility indifference prices to the superreplication price: the whole real line case
- Sensitivity of Multiperiod Optimization Problems with Respect to the Adapted Wasserstein Distance
- Convergence of optimal expected utility for a sequence of binomial models
- On the density of properly maximal claims in financial markets with transaction costs
- On utility maximization under model uncertainty in discrete‐time markets
- Risk-neutral pricing for arbitrage pricing theory
This page was built for publication: On utility maximization in discrete-time financial market models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q558678)
