On utility maximization in discrete-time financial market models

Abstract

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.

Published at http://dx.doi.org/10.1214/105051605000000089 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)

References in corpus (1)

• Dual formulation of the utility maximization problem: the case of nonsmooth utility

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