%0 Journal Article
%T Non-concave utility maximisation on the positive real axis in discrete time
%A Laurence Carassus
%A Mikl¨®s R¨˘sonyi
%A Andrea M. Rodrigues
%J Quantitative Finance
%D 2015
%I arXiv
%X 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.
%U http://arxiv.org/abs/1501.03123v2