Utility maximization in the large markets

Oleksii Mostovyi

Papers from arXiv.org

Abstract: In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the 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 the large market in terms of a sequence of the value functions in the finite-dimensional models.

Date: 2014-03, Revised 2014-10
New Economics Papers: this item is included in nep-upt
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