Resource title

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

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Resource description

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) ; Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Resource author

Dimitrij O. Kramkov, Walter Schachermayer

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Resource language

en

Resource content type

application/pdf

Resource resource URL

http://epub.wu.ac.at/150/1/document.pdf

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