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dc.contributor.author
Reichlin, Christian
dc.date.accessioned
2017-06-09T17:24:45Z
dc.date.available
2017-06-09T17:24:45Z
dc.date.issued
2011-10
dc.identifier.uri
http://hdl.handle.net/20.500.11850/41764
dc.description.abstract
We study the problem of maximizing expected utility from terminal wealth for a non-concave utility function and for a budget set given by one fixed pricing measure. We prove the existence of a maximizer and show that the concave envelope of the (non-concave) value function (indirect utility) is the value function of the utility maximization problem for the concave envelope of the original utility function. The value functions are shown to coincide if the underlying probability space is atomless. For a converging sequence of models, we prove that the sequence of value functions and a subsequence of optimal allocations converge to the corresponding quantities in the limit model. We illustrate our results by concrete numerical examples.
dc.language.iso
en
dc.publisher
National Centre of Competence in Research (NCCR); Financial Valuation and Risk Management (FINRISK)
dc.subject
Portfolio selection
dc.subject
Non-concave utility
dc.subject
Convex duality
dc.subject
Behavioural finance
dc.subject
Convergence
dc.subject
Stability
dc.title
Non-Concave Utility Maximization with a Given Pricing Measure
dc.type
Working Paper
ethz.journal.title
NCCR FINRISK working paper
ethz.journal.volume
517
ethz.size
50 p.
ethz.notes
.
ethz.publication.place
Zürich
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-09T17:24:57Z
ethz.source
ECIT
ethz.identifier.importid
imp59364ead5272633918
ethz.ecitpid
pub:69749
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-19T01:20:21Z
ethz.rosetta.lastUpdated
2018-10-01T14:30:40Z
ethz.rosetta.versionExported
true
ethz.COinS
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