英文标题：
《Optimal investment with bounded above utilities in discrete time markets》
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作者：
Miklos Rasonyi
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最新提交年份：
2014
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英文摘要：
  We consider an arbitrage-free, discrete time and frictionless market. We prove that an investor maximising the expected utility of her terminal wealth can always find an optimal investment strategy provided that her dissatisfaction of infinite losses is infinite and her utility function is non-decreasing, continuous and bounded above. The same result is shown for cumulative prospect theory preferences, under additional assumptions.
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中文摘要：
我们考虑一个无套利、离散时间和无摩擦的市场。我们证明了当投资者对无限损失的不满是无限的，且其效用函数是非递减的、连续的和有界的时，使其终端财富的预期效用最大化的投资者总能找到最优投资策略。在其他假设下，累积前景理论偏好也显示了同样的结果。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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