英文标题：
《Utility maximization in the large markets》
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作者：
Oleksii Mostovyi
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最新提交年份：
2014
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英文摘要：
In the large financial market, which is described by a model with countably many traded assets, we formulate the problem of the expected utility maximization. Assuming that the preferences of an economic agent are modeled with a stochastic utility and that the consumption occurs according to a stochastic clock, we obtain the \"usual\" conclusions of the utility maximization theory. We also give a characterization of the value function in the large market in terms of a sequence of the value functions in the finite-dimensional models.
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中文摘要：
在大型金融市场中，这是由一个具有可数个交易资产的模型描述的，我们建立了预期效用最大化问题。假设经济主体的偏好是用随机效用建模的，消费是按照随机时钟发生的，我们得到效用最大化理论的“通常”结论。我们还根据有限维模型中的一系列值函数，对大市场中的值函数进行了表征。
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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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