On utility maximization in discrete-time financial market models

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dc.creatorRasonyi, Miklos
dc.creatorStettner, Lukasz
dc.date2005-05-12
dc.date.accessioned2026-07-07T12:11:12Z
dc.date.available2026-07-07T12:11:12Z
dc.descriptionWe 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/math/0505243
dc.identifierhttp://arxiv.org/abs/math/0505243
dc.identifierAnnals of Applied Probability 2005, Vol. 15, No. 2, 1367-1395
dc.identifierdoi:10.1214/105051605000000089
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210152
dc.subjectProbability
dc.subjectComputational Finance
dc.subject93E20, 91B28 (Primary) 91B16, 60G42. (Secondary)
dc.titleOn utility maximization in discrete-time financial market models
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