Non-concave utility maximisation on the positive real axis in discrete time

Laurence Carassus; Miklos Rasonyi; Andrea M. Rodrigues

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Non-concave utility maximisation on the positive real axis in discrete time

机译：离散时间在正实轴上的非凹面效用最大化

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摘要

We treat a discrete-time asset allocation problem in an arbitrage-free, genetically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios.

机译：我们在无套利，遗传不完整的金融市场中处理离散资产配置问题，在该市场中，投资者可能具有非凹面效用函数，并且财富被限制为非负数。在容易验证的条件下，我们建立了最优投资组合的存在。

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来源
《Mathematics and financial economics》 |2015年第4期|325-349|共25页
作者
Laurence Carassus; Miklos Rasonyi; Andrea M. Rodrigues;
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作者单位

LMR (EA 4535, CNRS FR 3399ARC), Universite Reims Champagne-Ardenne, Moulin de la Housse, BP 1039, 51687 Reims Cedex 2, France;

MTA Alfred Renyi Institute of Mathematics, Budapest, Hungary,Pazmany Peter Catholic University, Budapest, Hungary;

Dublin City University, Dublin, Ireland;

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正文语种 eng
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关键词
Discrete-time models; Dynamic programming; Finite horizon; Incomplete markets; Non-concave utility; Optimal portfolio;

机译：离散时间模型;动态编程;有限的视野;市场不完整;非凹面效用;最佳投资组合;

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1. Some corrections on "Discrete-time positive-real lemma revisited: the discrete-time counterpart of the Kalman-Yakubovitch lemma" [J] . Ekanayake M.M., Premaratne K. IEEE Transactions on Circuits and Systems. 1 . 1996,第8期

机译：关于“重新讨论离散时间正实引理：卡尔曼-雅库波维奇引理的离散时间对应项”的一些更正
2. Some corrections on “Discrete-time positive-real lemmarevisited: the discrete-time counterpart of the Kalman-Yakubovitchlemma” [J] . Ekanayake M.M., Premaratne K., Jury E.I. IEEE Transactions on Circuits and Systems. I, Regular Papers . 1996,第8期

机译：对“离散时间正实词元逼近：Kalman-Yakubovitchlemma的离散时间对应词”的一些更正
3. Discrete-time positive-real lemma revisited: the discrete-timecounterpart of the Kalman-Yakubovitch lemma [J] . Premaratne K., Jury E.I. IEEE Transactions on Circuits and Systems. I, Regular Papers . 1994,第11期

机译：重新讨论离散时间正实引理：卡尔曼-雅库波维奇引理的离散时间
4. LMI characterizations of positive realness and static output feedback positive real control of discrete-time systems [C] . Xin Du, Guang-Hong Yang American Control Conference;ACC '09 . 2009

机译：离散时间系统的正实性和静态输出反馈正实控制的LMI特征
5. Connectivity in the Higson corona of the positive real axis. [D] . Judson, Zachary James. 2009

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6. Comparison of Quantitative Cytomegalovirus Real-time PCR in Whole Blood and pp65 Antigenemia Assay: Clinical Utility of CMV Real-time PCR in Hematopoietic Stem Cell Transplant Recipients [O] . Su-Mi Choi, Dong-Gun Lee, Jihyang Lim, 2009

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7. Non-concave utility maximisation on the positive real axis in discrete time [O] . Carassus, Laurence, Rásonyi, Miklós, Rodrigues, Andrea M. 2015

机译：离散时正实轴上的非凹效用最大化时间
8. Application of Generalized Function Theory to Network Realizability Theory and Time Domain Synthesis of Positive-Real Functions [R] . Zemanian, A. H. 1968

机译：广义函数理论在网络可实现性理论中的应用及正实函数的时域综合

Non-concave utility maximisation on the positive real axis in discrete time

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