Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models

DOI10.1287/moor.2015.0720zbMath1334.93179arXiv1302.0134OpenAlexW1551591053MaRDI QIDQ2800368

Miklós Rásonyi, Laurence Carassus

Publication date: 15 April 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0134

zbMATH Keywords

optimal investmentasymptotic elasticitynonconcave utility functions

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Stochastic models in economics (91B70) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (9)

No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach ⋮ Multiple-priors optimal investment in discrete time for unbounded utility function ⋮ Optimal Investment with Nonconcave Utilities in Discrete-Time Markets ⋮ Optimal investment with transaction costs under cumulative prospect theory in discrete time ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Non-concave utility maximisation on the positive real axis in discrete time ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ Inverse S-shaped probability weighting and its impact on investment ⋮ Nonconcave robust optimization with discrete strategies under Knightian uncertainty

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