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Non-concave utility maximisation on the positive real axis in discrete time

Author

Listed:
  • Laurence Carassus
  • Mikl'os R'asonyi
  • Andrea M. Rodrigues

Abstract

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.

Suggested Citation

  • Laurence Carassus & Mikl'os R'asonyi & Andrea M. Rodrigues, 2015. "Non-concave utility maximisation on the positive real axis in discrete time," Papers 1501.03123, arXiv.org, revised Apr 2015.
  • Handle: RePEc:arx:papers:1501.03123
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    File URL: http://arxiv.org/pdf/1501.03123
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    References listed on IDEAS

    as
    1. Arjan B. Berkelaar & Roy Kouwenberg & Thierry Post, 2004. "Optimal Portfolio Choice under Loss Aversion," The Review of Economics and Statistics, MIT Press, vol. 86(4), pages 973-987, November.
    2. Luciano Campi & Matteo Del Vigna, 2011. "Weak Insider Trading and Behavioral Finance," Working Papers hal-00566185, HAL.
    3. Bernard, Carole & Ghossoub, Mario, 2009. "Static Portfolio Choice under Cumulative Prospect Theory," MPRA Paper 15446, University Library of Munich, Germany.
    4. Laurence Carassus & Miklos Rasonyi, 2013. "Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models," Papers 1302.0134, arXiv.org, revised Sep 2014.
    5. repec:dau:papers:123456789/2317 is not listed on IDEAS
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    Cited by:

    1. Ariel Neufeld & Mario Sikic, 2017. "Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty," Papers 1711.03875, arXiv.org, revised Apr 2019.
    2. Romain Blanchard & Laurence Carassus & Mikl'os R'asonyi, 2016. "Non-concave optimal investment and no-arbitrage: a measure theoretical approach," Papers 1602.06685, arXiv.org, revised Aug 2016.
    3. repec:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0635-3 is not listed on IDEAS
    4. Romain Blanchard & Laurence Carassus & Miklos Rasonyi, 2018. "Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach Miklós R ´ asonyi," Post-Print hal-01883419, HAL.

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