Optimal investment with bounded above utilities in discrete time markets
classification
💱 q-fin.PM
math.PR
keywords
aboveboundeddiscreteinfiniteinvestmentoptimaltimeutility
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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.
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