Utility maximization in incomplete markets

Details Utility maximization in incomplete markets Utility maximization in incomplete markets

2005-08-24

arxiv.org/abs/math/0508448v1

Annals of Applied Probability 2005, Vol. 15, No. 3, 1691-1712

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051605000000188 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051605000000188

We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by closed, but not necessarily convex, sets. The final wealths obtained by trading under these constraints are identified as stochastic processes which usually are supermartingales, and even martingales for particular strategies. These strategies are seen to be optimal, and the corresponding value functions determined simply by the initial values of the supermartingales. We separately treat the cases of exponential, power and logarithmic utility.

Affiliated with

Also associated with

No associations

Rating

Utility maximization in incomplete markets does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Utility maximization in incomplete markets, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Utility maximization in incomplete markets will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-269397