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On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models

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References

1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
2002Stochastic Finance251 cited
1998Local martingales and the fundamental asset pricing theorems in the discrete-time case173 cited
2001A teacher’s note on no-arbitrage criteria127 cited
2005On utility maximization in discrete-time financial market models71 cited
2000Portfolio Optimization and Martingale Measures30 cited

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2020On utility maximization under model uncertainty in discrete‐time markets15 cited

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