{
  "id": "1504.01903",
  "version": "v1",
  "published": "2015-04-08T10:31:48.000Z",
  "updated": "2015-04-08T10:31:48.000Z",
  "title": "Non-convex dynamic programming and optimal investment",
  "authors": [
    "Teemu Penannen",
    "Ari-Pekka Perkkiö",
    "Miklós Rásonyi"
  ],
  "comment": "15 pages",
  "categories": [
    "math.OC",
    "math.PR"
  ],
  "abstract": "We establish the existence of minimizers in a rather general setting of dynamic stochastic optimization without assuming either convexity or coercivity of the objective function. We apply this to prove the existence of optimal portfolios for non-concave utility maximization problems in financial market models with frictions (such as illiquidity), a first result of its kind. The proofs are based on the dynamic programming principle whose validity is established under quite general assumptions.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-04-08T10:31:48.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "non-convex dynamic programming",
      "optimal investment",
      "non-concave utility maximization problems",
      "dynamic stochastic optimization",
      "financial market models"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 15,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv150401903P"
    }
  }
}