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arXiv · 1302.0134

Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models

Laurence Carassus·Miklos Rasonyi
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Abstract

This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility function $U$ is considered, with domain of definition $\mathbb{R}$. Simple conditions are presented which 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 $-\infty$ than at $+\infty$.

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Laurence Carassus, Miklos Rasonyi. 2013-02-01. Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models. https://arxiv.org/abs/1302.0134

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