TY - UNPB
T1 - The asymptotic elasticity of utility functions and optimal investment in incomplete markets
AU - Kramkov, Dimitrij O.
AU - Schachermayer, Walter
PY - 1999
Y1 - 1999
N2 - 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)
AB - 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)
U2 - 10.57938/e01f662b-610e-4d58-b26e-42718c9d2c81
DO - 10.57938/e01f662b-610e-4d58-b26e-42718c9d2c81
M3 - WU Working Paper and Case
T3 - Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"
BT - The asymptotic elasticity of utility functions and optimal investment in incomplete markets
PB - SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business
CY - Vienna
ER -