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Utility Maximization In A Large Market

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  • Oleksii Mostovyi

Abstract

We study the problem of expected utility maximization in a large market, i.e., a market with countably many traded assets. Assuming that agents have von Neumann–Morgenstern preferences with stochastic utility function and that consumption occurs according to a stochastic clock, we obtain the “usual†conclusions of the utility maximization theory. We also give a characterization of the value function in a large market in terms of a sequence of value functions in finite†dimensional models.

Suggested Citation

  • Oleksii Mostovyi, 2018. "Utility Maximization In A Large Market," Mathematical Finance, Wiley Blackwell, vol. 28(1), pages 106-118, January.
  • Handle: RePEc:bla:mathfi:v:28:y:2018:i:1:p:106-118
    DOI: 10.1111/mafi.12123
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    Cited by:

    1. Laurence Carassus & Miklos Rasonyi, 2019. "From small markets to big markets," Papers 1907.05593, arXiv.org, revised Oct 2020.
    2. Xian, Yujiao & Wang, Qian & Fan, Wenrong & Da, Yabin & Fan, Jing-Li, 2022. "The impact of different incentive policies on new energy vehicle demand in China's gigantic cities," Energy Policy, Elsevier, vol. 168(C).
    3. Laurence Carassus & Miklós Rásonyi, 2020. "Risk-Neutral Pricing for Arbitrage Pricing Theory," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 248-263, July.

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