Optimal investments for the standard maximization problem with non-concave utility function in complete market model

Olena Bahchedjioglou and Georgiy Shevchenko ()
Additional contact information
Olena Bahchedjioglou: Taras Shevchenko National University of Kyiv
Georgiy Shevchenko: Kyiv School of Economics

Mathematical Methods of Operations Research, 2022, vol. 95, issue 1, No 6, 163-181

Abstract: Abstract We study the standard utility maximization problem for a non-decreasing upper-semicontinuous utility function satisfying mild growth assumption. In contrast to the classical setting, we do not impose the assumption that the utility function is concave. By considering the concave envelope, or concavification, of the utility function, we identify the optimal solution for the optimization problem. We also construct the optimal solution for the constrained optimization problem, where the final endowment is bounded from above by a discrete random variable. We present several examples illustrating that our assumptions cannot be totally avoided.

Keywords: Optimal investment; Standard maximization problem; Non-concave utility; Non-convex optimization; Constrained optimization; 91G10; 90C26; 91B16; 46N10 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s00186-022-00774-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:95:y:2022:i:1:d:10.1007_s00186-022-00774-0

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/00186

DOI: 10.1007/s00186-022-00774-0

Access Statistics for this article

Mathematical Methods of Operations Research is currently edited by Oliver Stein

More articles in Mathematical Methods of Operations Research from Springer, Gesellschaft für Operations Research (GOR), Nederlands Genootschap voor Besliskunde (NGB)
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().