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Utility maximization in the large markets

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  • Oleksii Mostovyi

Abstract

In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the consumption occurs according to a stochastic clock, we obtain the "usual" conclusions of the utility maximization theory. We also give a characterization of the value function in the large market in terms of a sequence of the value functions in the finite-dimensional models.

Suggested Citation

  • Oleksii Mostovyi, 2014. "Utility maximization in the large markets," Papers 1403.6175, arXiv.org, revised Oct 2014.
    • Handle: RePEc:arx:papers:1403.6175
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    References listed on IDEAS

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