On the Bellman equation for asymptotics of utility from terminal wealth
Janusz Matkowski ; Łukasz Stettner
Applicationes Mathematicae, Tome 37 (2010), p. 89-97 / Harvested from The Polish Digital Mathematics Library
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The asymptotics of utility from terminal wealth is studied. First, a finite horizon problem for any utility function is considered. To study a long run infinite horizon problem, a certain positive homogeneity (PH) assumption is imposed. It is then shown that assumption (PH) is practically satisfied only by power and logarithmic utility functions.

Publié le : 2010-01-01
EUDML-ID : urn:eudml:doc:280022 
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Janusz Matkowski; Łukasz Stettner. On the Bellman equation for asymptotics of utility from terminal wealth. Applicationes Mathematicae, Tome 37 (2010) pp. 89-97. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-am37-1-6/