On utility maximization in discrete-time financial market models

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

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Probability, Computational Finance, 93E20, 91B28 (Primary) 91B16, 60G42. (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/210152

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0505243
 http://arxiv.org/abs/math/0505243
 Annals of Applied Probability 2005, Vol. 15, No. 2, 1367-1395
 doi:10.1214/105051605000000089

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arXiv