The asymptotic elasticity of utility functions and optimal investment in incomplete markets

• 成果类型: Article
• 署名作者: Kramkov, D; Schachermayer, W
• 署名单位: Russian Academy of Sciences; Steklov Mathematical Institute of the Russian Academy of Sciences; Technische Universitat Wien; University of Vienna
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1999
• 页码: 904-950
• 关键词: CONTINGENT CLAIMS; fundamental theorem; PORTFOLIO POLICIES; consumption; constraints; MODEL

摘要

The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theory to hold true is the requirement that the asymptotic elasticity of the utility function is strictly less than 1.