On utility maximization in discrete-time financial market models

Details On utility maximization in discrete-time financial market models On utility maximization in discrete-time financial market models

2005-05-12

arxiv.org/abs/math/0505243v1

Annals of Applied Probability 2005, Vol. 15, No. 2, 1367-1395

Mathematics

Probability

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

Scientific paper

10.1214/105051605000000089

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.

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