UTILITY MAXIMIZATION IN A LARGE MARKET | Zendy

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UTILITY MAXIMIZATION IN A LARGE MARKET

Author(s) -

Mostovyi Oleksii

Publication year - 2018

Publication title -

mathematical finance

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.98

H-Index - 81

eISSN - 1467-9965

pISSN - 0960-1627

DOI - 10.1111/mafi.12123

Subject(s) - utility maximization problem , mathematical economics , utility maximization , maximization , expected utility hypothesis , bellman equation , economics , function (biology) , value (mathematics) , consumption (sociology) , econometrics , mathematical optimization , mathematics , microeconomics , social science , statistics , evolutionary biology , sociology , biology

We study the problem of expected utility maximization in a large market, i.e., a market with countably many traded assets. Assuming that agents have von Neumann–Morgenstern preferences with stochastic utility function and that consumption occurs according to a stochastic clock, we obtain the “usual” conclusions of the utility maximization theory. We also give a characterization of the value function in a large market in terms of a sequence of value functions in finite‐dimensional models.

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