Optimal investment with bounded above utilities in discrete time markets

Miklos Rasonyi

Papers from arXiv.org

Abstract: We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of infinite losses is infinite and her utility function is non-decreasing, continuous and bounded above. The same result is shown for cumulative prospect theory preferences, under additional assumptions.

Date: 2014-09
New Economics Papers: this item is included in nep-upt
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