Optimal financial investments for non-concave utility functions

DOI10.1016/J.ECONLET.2011.10.029zbMath1241.91108OpenAlexW3125724818MaRDI QIDQ429148

Marc Oliver Rieger

Publication date: 26 June 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2011.10.029

zbMATH Keywords

prospect theorynon-concave utility functionoptimal investments

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Related Items (6)

Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function ⋮ Utility maximization with a given pricing measure when the utility is not necessarily concave ⋮ Non-concave expected utility optimization with uncertain time horizon ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ Can utility optimization explain the demand for structured investment products?

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Prospect Theory: An Analysis of Decision under Risk
• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios

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