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.
Publié le : 2005-05-14
Classification:
Utility maximization,
asymptotic elasticity of utility functions,
martingale measures,
93E20,
91B28,
91B16,
60G42
@article{1115137978,
author = {R\'asonyi, Mikl\'os and Stettner, Lukasz},
title = {On utility maximization in discrete-time financial market models},
journal = {Ann. Appl. Probab.},
volume = {15},
number = {1A},
year = {2005},
pages = { 1367-1395},
language = {en},
url = {http://dml.mathdoc.fr/item/1115137978}
}
Rásonyi, Miklós; Stettner, Lukasz. On utility maximization in discrete-time financial market models. Ann. Appl. Probab., Tome 15 (2005) no. 1A, pp. 1367-1395. http://gdmltest.u-ga.fr/item/1115137978/