Existence of solutions in non-convex dynamic programming and optimal investment
نویسندگان
چکیده
منابع مشابه
Existence of solutions in non-convex dynamic programming and optimal investment∗
We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization in finite discrete time without assuming either convexity or coercivity of the objective function. We apply this to prove the existence of optimal investment strategies for non-concave utility maximization problems in financial market models with frictions, a first result of its kind. The pro...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2016
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-016-0176-6