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arXiv · 1602.06685

Non-concave optimal investment and no-arbitrage: a measure theoretical approach

Romain Blanchard·Laurence Carassus·Miklós Rásonyi
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Abstract

We consider non-concave and non-smooth random utility functions with do- main of definition equal to the non-negative half-line. We use a dynamic pro- gramming framework together with measurable selection arguments to establish both the no-arbitrage condition characterization and the existence of an optimal portfolio in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the existing literature, we propose to consider a probability space which is not necessarily complete.

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Romain Blanchard, Laurence Carassus, Miklós Rásonyi. 2016-02-22. Non-concave optimal investment and no-arbitrage: a measure theoretical approach. https://arxiv.org/abs/1602.06685

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