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On utility maximization in discrete-time financial market models


  • Miklos Rasonyi
  • Lukasz Stettner


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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  • Miklos Rasonyi & Lukasz Stettner, 2005. "On utility maximization in discrete-time financial market models," Papers math/0505243,
  • Handle: RePEc:arx:papers:math/0505243

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    References listed on IDEAS

    1. B. Bouchard & N. Touzi & A. Zeghal, 2004. "Dual formulation of the utility maximization problem: the case of nonsmooth utility," Papers math/0405290,
    2. Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer, 2005. "On Utility-Based Pricing Of Contingent Claims In Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 203-212.
    3. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
    4. Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short-Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232.
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    Cited by:

    1. Miklós Rásonyi & Andrea Rodrigues, 2013. "Optimal portfolio choice for a behavioural investor in continuous-time markets," Annals of Finance, Springer, vol. 9(2), pages 291-318, May.
    2. Laurence Carassus & Miklós Rásonyi, 2011. "Risk-averse asymptotics for reservation prices," Annals of Finance, Springer, vol. 7(3), pages 375-387, August.
    3. Mikl'os R'asonyi & Andrea Meireles-Rodrigues, 2018. "On Utility Maximisation Under Model Uncertainty in Discrete-Time Markets," Papers 1801.06860,, revised Feb 2018.
    4. Tahir Choulli & Jun Deng & Junfeng Ma, 2015. "How non-arbitrage, viability and numéraire portfolio are related," Finance and Stochastics, Springer, vol. 19(4), pages 719-741, October.
    5. Mikl'os R'asonyi & Jos'e G. Rodr'iguez-Villarreal, 2014. "Optimal investment under behavioural criteria -- a dual approach," Papers 1405.3812,, revised Jun 2014.
    6. Jörn Sass & Martin Smaga, 2014. "FTAP in finite discrete time with transaction costs by utility maximization," Finance and Stochastics, Springer, vol. 18(4), pages 805-823, October.
    7. Roman Muraviev, 2011. "Additive habits with power utility: Estimates, asymptotics and equilibrium," Papers 1108.2889,

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