On utility maximization in discrete-time financial market models

• 成果类型: Article
• 署名作者: Rasonyi, M; Stettner, L
• 署名单位: HUN-REN; HUN-REN Institute for Computer Science & Control; Hungarian Academy of Sciences; Polish Academy of Sciences; Institute of Mathematics of the Polish Academy of Sciences
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051605000000089
• 发表日期: 2005
• 页码: 1367-1395
• 关键词: fundamental theorem; Optimal investment; OPTIMAL PORTFOLIO; no-arbitrage

摘要

We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are constructed using optimal strategies.