UTILITY MAXIMIZATION IN A LARGE MARKET

Oleksii Mostovyi

Mathematical Finance, 2018, vol. 28, issue 1, 106-118

Abstract: We study the problem of expected utility maximization in a large market, i.e., a market with countably many traded assets. Assuming that agents have von Neumann–Morgenstern preferences with stochastic utility function and that consumption occurs according to a stochastic clock, we obtain the “usual†conclusions of the utility maximization theory. We also give a characterization of the value function in a large market in terms of a sequence of value functions in finite†dimensional models.

Date: 2018
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