Publication: Utility maximization with a given pricing measure when the utility is not necessarily concave
Utility maximization with a given pricing measure when the utility is not necessarily concave
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Reichlin, C. (2013). Utility maximization with a given pricing measure when the utility is not necessarily concave. Mathematics and Financial Economics, 7(4), 531–556. https://doi.org/10.1007/s11579-013-0093-x
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We study the problem of maximizing expected utility from terminal wealth for a not necessarily concave utility function $$U$$ and for a budget set given by one fixed pricing measure. We prove the existence and several fundamental properties of a maximizer. We analyze the (not necessarily concave) value function (indirect utility) $$u(x,U)$$ . In particular, we show that the concave envelope of $$u(x,U)$$ is the value function $$u(x,U_c)$$ of the utility maximization problem for the concave envelope $$U_c$$ of the utility function $$U$$
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- Reichlin, Christian
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Reichlin, C. (2013). Utility maximization with a given pricing measure when the utility is not necessarily concave. Mathematics and Financial Economics, 7(4), 531–556. https://doi.org/10.1007/s11579-013-0093-x
