On utility maximization in discrete-time financial market models
We 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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- B. Bouchard & N. Touzi & A. Zeghal, 2004. "Dual formulation of the utility maximization problem: the case of nonsmooth utility," Papers math/0405290, arXiv.org.
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