Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models

• 成果类型: Article
• 署名作者: Carassus, Laurence; Rasonyi, Miklos
• 署名单位: Universite de Reims Champagne-Ardenne; HUN-REN; HUN-REN Alfred Renyi Institute of Mathematics; Universite Paris Cite; University of Edinburgh
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2015.0720
• 发表日期: 2016
• 页码: 146-173
• 关键词: lifetime portfolio selection; Optimal investment; prospect-theory; incomplete markets; uncertainty; CHOICE; agents; RISK

摘要

This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. By contrast to the standard setting, a possibly nonconcave utility function U is considered, with domain of definition equal to the whole real line. Simple conditions are presented that guarantee the existence of an optimal strategy for the problem. In particular, the asymptotic elasticity of U plays a decisive role: Existence can be shown when it is strictly greater at -infinity than at +infinity.