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On utility maximization in discrete-time financial market models

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  • 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
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    References listed on IDEAS

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    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.
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    3. I. V. Evstigneev, 1976. "Measurable Selection and Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 1(3), pages 267-272, August.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. repec:dau:papers:123456789/5647 is not listed on IDEAS
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