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Optimal investment with bounded above utilities in discrete time markets

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arxiv 1409.2023 v1 pith:GZ6NOGU2 submitted 2014-09-06 q-fin.PM math.PR

Miklos Rasonyi This is my paper · ORCID
classification q-fin.PMmath.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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