Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach Miklós R ´ asonyi

Abstract : We consider a discrete-time financial market model with finite time horizon and investors with utility functions d efined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterization of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.
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Romain Blanchard, Laurence Carassus, Miklos Rasonyi. Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach Miklós R ´ asonyi. Mathematical Methods of Operations Research, Springer Verlag, 2018. ⟨hal-01883419⟩

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