Non-concave utility maximisation on the positive real axis in discrete time

Laurence Carassus, Mikl\'os R\'asonyi and Andrea M. Rodrigues

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Abstract: We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios.

Date: 2015-01, Revised 2015-04
New Economics Papers: this item is included in nep-upt
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