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Laurence Carassus

Publications and source records attributed to Laurence Carassus.

23 records · Page 2Linked to original sources
arXiv2016

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

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.

q-fin.MF↗
arXiv2015

Non-concave utility maximisation on the positive real axis in discrete time

We treat a discrete-time asset allocation problem in an arbitrage-free, generically incomplete financial market, where the investor has a possibly non-concave utility function and wealth is restricted to remain non-negative. Under easily verifiable conditions, we establish the existence of optimal portfolios.

q-fin.MF↗
arXiv2014

Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models

This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility function $U$ is considered, with domain of definition $\mathbb{R}$. Simple conditions are presented which guarantee the existence of an optimal strategy for the problem. In particular, the asymptotic elasticity of $U$ plays a decisive role: existence can be shown when it is strictly greater at $-\infty$ than at $+\infty$.

q-fin.PM↗
arXiv2009

Risk-averse asymptotics for reservation prices

An investor's risk aversion is assumed to tend to infinity. In a fairly general setting, we present conditions ensuring that the respective utility indifference prices of a given contingent claim converge to its super replication price.

math.PR↗