Non-Concave Utility Maximization without the Concavification Principle

2019 ◽  
Author(s):  
Min Dai ◽  
Steven Kou ◽  
Shuaijie Qian ◽  
Xiangwei Wan
Keyword(s):  
Utility Maximization

SHORT-RUN TAX-RESPONSE IN A UTILITY-MAXIMIZATION FRAMEWORK

1970 ◽  
Vol 23 (4) ◽  
pp. 365-372
Author(s):  
FREDERICK D. SEBOLD
Keyword(s):  
Utility Maximization ◽  
Short Run

scholarly journals Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift

2021 ◽  
Vol 58 (1) ◽  
pp. 197-216 ◽  
Author(s):  
Jörn Sass ◽  
Dorothee Westphal ◽  
Ralf Wunderlich
Keyword(s):  
Stock Returns ◽  
Financial Market ◽  
Discrete Time ◽  
High Frequency ◽  
Utility Maximization ◽  
Limit Theorems ◽  
Approximate Solutions ◽  
Diffusion Approximations ◽  
Expert Opinions ◽  
Arrival Intensity

AbstractThis paper investigates a financial market where stock returns depend on an unobservable Gaussian mean reverting drift process. Information on the drift is obtained from returns and randomly arriving discrete-time expert opinions. Drift estimates are based on Kalman filter techniques. We study the asymptotic behavior of the filter for high-frequency experts with variances that grow linearly with the arrival intensity. The derived limit theorems state that the information provided by discrete-time expert opinions is asymptotically the same as that from observing a certain diffusion process. These diffusion approximations are extremely helpful for deriving simplified approximate solutions of utility maximization problems.

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