On utility maximization in discrete-time financial market models

Miklos Rasonyi and Lukasz Stettner

Papers from arXiv.org

Abstract: We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.

Date: 2005-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Published in Annals of Applied Probability 2005, Vol. 15, No. 2, 1367-1395

Downloads: (external link)
http://arxiv.org/pdf/math/0505243 Latest version (application/pdf)

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:arx:papers:math/0505243

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().