UTILITY MAXIMIZATION IN A LARGE MARKET: UTILITY MAXIMIZATION IN A LARGE MARKET
UTILITY MAXIMIZATION IN A LARGE MARKET: UTILITY MAXIMIZATION IN A LARGE MARKET
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大市场中的效用最大化： 大市场中的效用最大化
DOI：
10.1111/mafi.12123
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发表时间：
2016
影响因子：
1.6
通讯作者：
Mostovyi, Oleksii
中科院分区：
文献类型：
--
作者：
Mostovyi, Oleksii
我们研究的问题，期望效用最大化在一个大的市场，即，一个有无数交易资产的市场。假设代理人有冯诺依曼-摩根斯坦偏好随机效用函数和消费发生根据一个随机时钟，我们得到的“通常”的效用最大化理论的结论。我们还给出了一个大市场中的价值函数的特征，即有限维模型中的价值函数序列。
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.