Non-concave utility maximisation on the positive real axis in discrete time
classification
💱 q-fin.MF
keywords
non-concaveutilityallocationarbitrage-freeassetaxisconditionsdiscrete
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.