A note on the existence of the power investor’s optimizer |
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Authors: | Kasper Larsen |
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Institution: | (1) Cornell University, 457 Uris Hall, Ithaca, NY 14853, USA |
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Abstract: | Karatzas et al. (SIAM J. Control Optim. 29:707–730, 1991) ensure the existence of the expected utility maximizer for investors with constant relative risk aversion coefficients less
than one. In this note, we explain a simple trick that allows us to use this result to provide the existence of utility maximizers
for arbitrary coefficients of relative risk aversion. The simplicity of our approach is to be contrasted with the general
existence result provided in Kramkov and Schachermayer (Ann. Appl. Probab. 9:904–950, 1999). |
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