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0
votes
1answer
47 views

Risk neutrality coherence with risk aversion

I haven't been able to find an understandable explanation why the risk neutrality is coherent with the risk aversion implication of the expected utility hypothesis. I can see that when using the risk ...
3
votes
0answers
32 views

Utility Maximization on a finite Probability Space. Possible mistakes in a paper?

I am currently reading this paper on utility maximization in a financial market model. On page 5 the author starts with the case of a finite probability space and on page 19 he considers the ...
4
votes
0answers
137 views

Martingale method for utility maximization - is the optimal strategy also a martingale?

The Martingale Method for utility maximization (seen in e.g. Björk's book) is based on separating the optimization problem $E^\mathbb{P}[U(X_T)]$ over a class of admissible strategies into the static ...