IDEAS home Printed from https://ideas.repec.org/p/arx/papers/math-0505243.html
   My bibliography  Save this paper

On utility maximization in discrete-time financial market models

Author

Listed:
  • Miklos Rasonyi
  • Lukasz Stettner

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.

Suggested Citation

  • Miklos Rasonyi & Lukasz Stettner, 2005. "On utility maximization in discrete-time financial market models," Papers math/0505243, arXiv.org.
    • Handle: RePEc:arx:papers:math/0505243
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/math/0505243
    File Function: Latest version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. B. Bouchard & N. Touzi & A. Zeghal, 2004. "Dual formulation of the utility maximization problem: the case of nonsmooth utility," Papers math/0405290, arXiv.org.
    2. Elyégs Jouini & Hédi Kallal, 1995. "Arbitrage In Securities Markets With Short‐Sales Constraints," Mathematical Finance, Wiley Blackwell, vol. 5(3), pages 197-232, July.
    3. Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52, January.
    4. I. V. Evstigneev, 1976. "Measurable Selection and Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 1(3), pages 267-272, August.
    5. Marco Frittelli, 2000. "Introduction to a theory of value coherent with the no-arbitrage principle," Finance and Stochastics, Springer, vol. 4(3), pages 275-297.
    6. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
    7. Laurence Carassus & Huye^n Pham & Nizar Touzi, 2001. "No Arbitrage in Discrete Time Under Portfolio Constraints," Mathematical Finance, Wiley Blackwell, vol. 11(3), pages 315-329, July.
    8. Julien Hugonnier & Dmitry Kramkov & Walter Schachermayer, 2005. "On Utility‐Based Pricing Of Contingent Claims In Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 203-212, April.
    9. repec:dau:papers:123456789/5647 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Alet Roux & Zhikang Xu, 2019. "Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs," Papers 1909.06260, arXiv.org, revised May 2021.
    2. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January.
    3. Evstigneev, Igor V. & Schürger, Klaus & Taksar, Michael I., 2002. "On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria," Bonn Econ Discussion Papers 24/2002, University of Bonn, Bonn Graduate School of Economics (BGSE).
    4. Mark P. Owen & Gordan Žitković, 2009. "Optimal Investment With An Unbounded Random Endowment And Utility‐Based Pricing," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 129-159, January.
    5. Xiaotie Deng & Zhong Li & Shouyang Wang & Hailiang Yang, 2005. "Necessary and Sufficient Conditions for Weak No-Arbitrage in Securities Markets with Frictions," Annals of Operations Research, Springer, vol. 133(1), pages 265-276, January.
    6. Julien Hugonnier & Dmitry Kramkov, 2004. "Optimal investment with random endowments in incomplete markets," Papers math/0405293, arXiv.org.
    7. Daniel Bartl, 2016. "Exponential utility maximization under model uncertainty for unbounded endowments," Papers 1610.00999, arXiv.org, revised Feb 2019.
    8. Jos'e Manuel Corcuera, 2021. "The Golden Age of the Mathematical Finance," Papers 2102.06693, arXiv.org, revised Mar 2021.
    9. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
    10. Masahiro Fujimoto, 2018. "The Theoretical Price of a Share-Based Payment with Performance Conditions and Implications for the Current Accounting Standards," Papers 1806.05401, arXiv.org.
    11. Fontana, Claudio & Runggaldier, Wolfgang J., 2021. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Journal of Mathematical Economics, Elsevier, vol. 92(C), pages 66-80.
    12. repec:dau:papers:123456789/5374 is not listed on IDEAS
    13. Arash Fahim & Yu-Jui Huang, 2014. "Model-independent Superhedging under Portfolio Constraints," Papers 1402.2599, arXiv.org, revised Jun 2015.
    14. Barrieu, Pauline & El Karoui, Nicole, 2005. "Inf-convolution of risk measures and optimal risk transfer," LSE Research Online Documents on Economics 2829, London School of Economics and Political Science, LSE Library.
    15. Arash Fahim & Yu-Jui Huang, 2016. "Model-independent superhedging under portfolio constraints," Finance and Stochastics, Springer, vol. 20(1), pages 51-81, January.
    16. Michael Mania & Martin Schweizer, 2005. "Dynamic exponential utility indifference valuation," Papers math/0508489, arXiv.org.
    17. Becherer, Dirk, 2003. "Rational hedging and valuation of integrated risks under constant absolute risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 1-28, August.
    18. Alet Roux, 2007. "The fundamental theorem of asset pricing under proportional transaction costs," Papers 0710.2758, arXiv.org.
    19. M. Dempster & I. Evstigneev & M. Taksar, 2006. "Asset Pricing and Hedging in Financial Markets with Transaction Costs: An Approach Based on the Von Neumann–Gale Model," Annals of Finance, Springer, vol. 2(4), pages 327-355, October.
    20. Khaled Salhi, 2017. "Pricing European options and risk measurement under exponential Lévy models — a practical guide," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-36, June.
    21. Claudio Fontana & Wolfgang J. Runggaldier, 2020. "Arbitrage concepts under trading restrictions in discrete-time financial markets," Papers 2006.15563, arXiv.org, revised Sep 2020.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:math/0505243. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.