Optimal Investment with Nonconcave Utilities in Discrete-Time Markets

DOI10.1137/140985184zbMath1318.93105arXiv1409.2023OpenAlexW874258458MaRDI QIDQ2941471

Miklós Rásonyi

Publication date: 28 August 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.2023

zbMATH Keywords

expected utilityutility maximizationcumulative prospect theorybounded-above utility functions

Mathematics Subject Classification ID

Decision theory (91B06) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Related Items (3)

Optimal investment with transaction costs under cumulative prospect theory in discrete time ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Existence of solutions in non-convex dynamic programming and optimal investment

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