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:	https://eprints.sztaki.hu/id/eprint/4604

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