Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models
| Autor: | Miklós Rásonyi, Laurence Carassus |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Domain of a function
050208 finance General Mathematics 05 social sciences Financial market Maximization Management Science and Operations Research 01 natural sciences Computer Science Applications 010104 statistics & probability Discrete time and continuous time 0502 economics and business 0101 mathematics Finite time Mathematical economics Real line Mathematics |
| Zdroj: | Mathematics of Operations Research. 41:146-173 |
| ISSN: | 1526-5471 0364-765X |
| DOI: | 10.1287/moor.2015.0720 |
| Popis: | This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. By contrast to the standard setting, a possibly nonconcave utility function U is considered, with domain of definition equal to the whole real line. Simple conditions are presented that guarantee the existence of an optimal strategy for the problem. In particular, the asymptotic elasticity of U plays a decisive role: Existence can be shown when it is strictly greater at −∞ than at +∞. |
| Databáze: | OpenAIRE |
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