No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach

Romain Blanchard (), Laurence Carassus () and Miklós Rásonyi ()
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Romain Blanchard: Université Reims Champagne-Ardenne (URCA)
Laurence Carassus: Pôle Universitaire Léonard de Vinci
Miklós Rásonyi: MTA Alfréd Rényi Institute of Mathematics

Mathematical Methods of Operations Research, 2018, vol. 88, issue 2, No 4, 281 pages

Abstract: Abstract We consider a discrete-time financial market model with finite time horizon and investors with utility functions defined 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 characterisation 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; Primary 93E20; 91B70; 91B16; Secondary 91G10; 28B20 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s00186-018-0635-3

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