ON UTILITY MAXIMIZATION IN DISCRETE-TIME FINANCIAL MARKET MODELS

By Miklós Rásonyi, Lukasz Stettner. 2005

84 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/fd33d8c63afa4217606f79d2206821067d200a5d

Citations in the corpus

• UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME (2013, unknown): “35 97 v1 [ qfi n. PM ] 1 Keywords Utility maximization; Knightian uncertainty; Nondominated model AMS 2000 Subject Classification 91B28; 93E20; 49L20”