Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach

Romain Blanchard (), Laurence Carassus () and Miklos Rasonyi ()
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Romain Blanchard: LMR - Laboratoire de Mathématiques de Reims - URCA - Université de Reims Champagne-Ardenne - CNRS - Centre National de la Recherche Scientifique
Laurence Carassus: PULV - Pôle Universitaire Léonard de Vinci

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Abstract: We consider a discrete-time financial market model with finite time horizon and investors with utility functions d efined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterization of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.

Keywords: no-arbitrage condition; non-concave utility functions; optimal investment (search for similar items in EconPapers)
Date: 2018-03-19
New Economics Papers: this item is included in nep-upt
Note: View the original document on HAL open archive server: https://hal.science/hal-01883419v1
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Published in Mathematical Methods of Operations Research, 2018, 88, pp.241-281. ⟨10.1007/s00186-018-0635-3⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01883419

DOI: 10.1007/s00186-018-0635-3

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