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

2015/01/13 by Carassus, Laurence, Rásonyi, Miklós, Rodrigues, Andrea M.
#91B16 #91B70 #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Primary 93E20 #Secondary 91G10

paper · doi:10.48550/arxiv.1501.03123

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.

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