On utility maximization in discrete-time financial market models
AbstractWe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number math/0505243.
Date of creation: May 2005
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Publication status: Published in Annals of Applied Probability 2005, Vol. 15, No. 2, 1367-1395
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