Laurence Carassus, Miklós Rásonyi, Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models, Mathematics of Operations Research, Vol. 41, No. 1 (February 2016), pp.

We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by ...

The 2021 Xylem Reach Conference, hosted Oct. 24-27, will provide a platform for global utility leaders to immerse themselves in technology and learn how to maximize investments in digitalization.