Optimal financial investments for non-concave utility functions
We prove a formula for the computation of optimal financial investments in an expected utility framework with arbitrary (not necessarily concave) utility functions. This extends classical results on optimal financial investments for strictly concave utility functions and is of importance particularly for applications of prospect theory where the utility function has a convex–concave shape.
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- Stanley R. Pliska, 1984. "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Discussion Papers 608, Northwestern University, Center for Mathematical Studies in Economics and Management Science. Full references (including those not matched with items on IDEAS)
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