The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Dimitrij O. Kramkov; Walter Schachermayer

The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Dimitrij O. Kramkov, Walter Schachermayer

Publikation: Working/Discussion Paper › WU Working Paper

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Abstract

The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theory to hold true is the requirement that the asymptotic elasticity of the utility function is strictly less then one. (author's abstract)

Originalsprache	Englisch
Erscheinungsort	Vienna
Herausgeber	SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
Publikationsstatus	Veröffentlicht - 1999

Publikationsreihe

Reihe	Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
Nummer	25

WU Working Paper Reihe

Report Series SFB \Adaptive Information Systems and Modelling in Economics and Management Science\

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Zitat

Kramkov, D. O., & Schachermayer, W. (1999). The asymptotic elasticity of utility functions and optimal investment in incomplete markets. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business. Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science" Nr. 25

Kramkov, Dimitrij O. ; Schachermayer, Walter. / The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Vienna : SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1999. (Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"; Nr. 25).

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Kramkov, DO & Schachermayer, W 1999 'The asymptotic elasticity of utility functions and optimal investment in incomplete markets' Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science", Nr. 25, SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

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