Utility Maximisation on Finite Probability Spaces

Freddy Delbaen () and Walter Schachermayer ()
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Freddy Delbaen: ETH Zürich
Walter Schachermayer: Technische Universität Wien

Chapter 3 in The Mathematics of Arbitrage, 2006, pp 33-56 from Springer

Abstract: In addition to the model S of a financial market, we now consider a function U(x), modelling the utility of an agent’s wealth x at the terminal time T.

Date: 2006
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DOI: 10.1007/978-3-540-31299-4_3

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