A service provided by the WU Library and the WU IT-Services

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

Kramkov, Dimitrij O. and Schachermayer, Walter (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", 25. SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, Vienna.

[img]
Preview
PDF
Download (376Kb) | Preview

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)

Item Type: Paper
Keywords: Kapitalanlage / unvollkommener Markt
Divisions: Departments > Informationsverarbeitung u Prozessmanag. > Produktionsmanagement > Taudes
Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Departments > Marketing > Service Marketing und Tourismus
Departments > Informationsverarbeitung u Prozessmanag. > Informationswirtschaft
Depositing User: Repository Administrator
Date Deposited: 08 Mar 2002 09:21
Last Modified: 15 Sep 2010 00:06
URI: http://epub.wu.ac.at/id/eprint/150

Actions

View Item