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Non-concave utility maximisation on the positive real axis in discrete time

We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios.
Year of publication:
2015-01
Authors: Carassus, Laurence ; Mikl\'os R\'asonyi ; Rodrigues, Andrea M.
Institutions: arXiv.org
Extent:
application/pdf
Series:
Type of publication: Book / Working Paper
Source:
Persistent link: https://www.econbiz.de/10011265627
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