Utility maximization with a given pricing measure when the utility is not necessarily concave

Author:

Reichlin Christian

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference42 articles.

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4. Balder, E.J., Pistorius, M.R.: On an optimal consumption problem for $$p$$ -integrable consumption plans. Econ. Theory 17, 721–737 (2001)

5. Basak, S., Makarov, D.: Strategic asset allocation in money management. J. Finance (2011). Available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1336546

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