On utility maximization in discrete-time financial market models
نویسندگان
چکیده
منابع مشابه
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. 1. Introduction. In this paper we study the existence of optimal portfolios for maximizing expected utility at the end...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2005
ISSN: 1050-5164
DOI: 10.1214/105051605000000089