2014/03/24 by Oleksii Mostovyi, Mostovyi, Oleksii
Economics, Econometrics and Finance · #60G99 #60H99 #91G10 #93E20 #FOS: Economics and business #Portfolio Management (q-fin.PM) #msc:60G99 #msc:60H99 #msc:91G10 #msc:93E20 #q-fin.PM
paper · pdf · doi:10.48550/arxiv.1403.6175
arxiv created 2014/10/17 · arxiv updated 2014/10/21
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.