Optimal investments for the standard maximization problem with non-concave utility function in complete market model-Reference-Cited by-同舟云学术

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Optimal investments for the standard maximization problem with non-concave utility function in complete market model

Published:2022-02 Issue:1 Volume:95 Page:163-181
ISSN:1432-2994
Container-title:Mathematical Methods of Operations Research
language:en
Short-container-title:Math Meth Oper Res

Author:

Bahchedjioglou Olena^ORCID,Shevchenko Georgiy

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Mathematics,Software

Link

https://link.springer.com/content/pdf/10.1007/s00186-022-00774-0.pdf

Reference14 articles.

1. Aubin JP, Ekeland I (1984) Applied nonlinear analysis. Pure and Applied Mathematics (New York). John Wiley and Sons, Inc., New York. A Wiley-Interscience Publication

2. Aumann RJ, Perles M (1965) A variational problem arising in economics. J Math Anal Appl 11:488–503. https://doi.org/10.1016/0022-247X(65)90100-9

3. Carpenter JN (2000) Does option compensation increase managerial risk appetite? J Financ 55(5):2311–2331. https://doi.org/10.1111/0022-1082.00288

4. Dai M, Kou S, Qian S, Wan X (2019) Non-concave utility maximization without the concavification principle. Available at SSRN 3422276

5. Föllmer H, Schied A (2016) Stochastic finance. De Gruyter. https://doi.org/10.1515/9783110463453

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1. Minimax identity with robust utility functional for a nonconcave utility;Modern Stochastics: Theory and Applications;2022-10-28

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