On utility maximization in discrete-time financial market models

Authors
Rásonyi, Miklós Stettner, Lukasz
Citation
Rásonyi, Miklós et Stettner, Lukasz, On utility maximization in discrete-time financial market models, Annals of applied probability , 15(2), 2005, pp. 1367-1395
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
15
Issue
2
Year of publication
2005
Pages
1367 - 1395
Database
ACNP
SICI code
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.