Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach - Archive ouverte HAL
Article Dans Une Revue Mathematical Methods of Operations Research Année : 2018

Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach

Romain Blanchard
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Miklos Rasonyi
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Résumé

We consider a discrete-time financial market model with finite time horizon and investors with utility functions d efined on the non-negative half-line. We allow these functions to be random, non-concave and non-smooth. We use a dynamic programming framework together with measurable selection arguments to establish both the characterization of the no-arbitrage property for such markets and the existence of an optimal portfolio strategy for such investors.
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Dates et versions

hal-01883419 , version 1 (28-09-2018)

Identifiants

Citer

Romain Blanchard, Laurence Carassus, Miklos Rasonyi. Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach. Mathematical Methods of Operations Research, 2018, 88, pp.241-281. ⟨10.1007/s00186-018-0635-3⟩. ⟨hal-01883419⟩
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