| Tartalom: |
http://real.mtak.hu/30233/ |
| Archívum: |
MTA Könyvtár |
| Gyűjtemény: |
Status = Published
Type = Article
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| Cím: |
Non-concave utility maximisation on the positive real axis in discrete time
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| Létrehozó: |
Carassus, L
Rásonyi, Miklós
Rodrigues, A. M.
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| Dátum: |
2015
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| Téma: |
QA Mathematics / matematika
QA76 Computer software / programozás
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| Tartalmi leírás: |
We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios. © 2015, Springer-Verlag Berlin Heidelberg.
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| Típus: |
Article
PeerReviewed
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| Formátum: |
text
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| Azonosító: |
Carassus, L and Rásonyi, Miklós and Rodrigues, A. M. (2015) Non-concave utility maximisation on the positive real axis in discrete time. MATHEMATICS AND FINANCIAL ECONOMICS, 9 (4). pp. 325-349. ISSN 1862-9679
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| Kapcsolat: |
https://dx.doi.org/10.1007/s11579-015-0146-4
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