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Utility maximization in incomplete markets

Please always quote using this URN:urn:nbn:de:0296-matheon-444
  • 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.

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Metadaten
Author:Ying Hu, Peter Imkeller, Matthias Müller
URN:urn:nbn:de:0296-matheon-444
Referee:Hans Föllmer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2004/02/13
Release Date:2004/01/15
Institute:Humboldt-Universität zu Berlin
Preprint Number:71
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