On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models

Rásonyi, Miklós and Stettner, Lukasz (2006) On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models. In: - Springer, Berlin, pp. 589-608.

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Abstract

We consider an investor whose preferences are described by a concave nondecreasing function $U:(0,infty)to mathbb{R}$ and prove that in an arbitrage-free discrete-time market model there is a strategy attaining the supremum of expected utility at the terminal date provided that this supremum is finite.

Item Type: Book Section
Subjects: Q Science > QA Mathematics and Computer Science > QA75 Electronic computers. Computer science / számítástechnika, számítógéptudomány
Depositing User: Eszter Nagy
Date Deposited: 11 Dec 2012 15:27
Last Modified: 11 Dec 2012 15:27
URI: http://eprints.sztaki.hu/id/eprint/4604

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