Abstract
We 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.
Citation
Miklós Rásonyi. Lukasz Stettner. "On utility maximization in discrete-time financial market models." Ann. Appl. Probab. 15 (2) 1367 - 1395, May 2005. https://doi.org/10.1214/105051605000000089
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