Optimal financial investments for non-concave utility functions

We prove a formula for the computation of optimal financial investments in an expected utility framework with arbitrary (not necessarily concave) utility functions. This extends classical results on optimal financial investments for strictly concave utility functions and is of importance particularly for applications of prospect theory where the utility function has a convex–concave shape.

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Year of publication:	2012
Authors:	Rieger, Marc Oliver
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 114.2012, 3, p. 239-240
Publisher:	Elsevier
Subject:	Optimal investments \| Non-concave utility function \| Prospect theory

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Type of publication:	Article
Classification:	G11 - Portfolio Choice ; D03 - Behavioral Economics; Underlying Principles
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010576420