On Utility Maximization with Random Interval Payoffs

This article discusses the problem of utility maximization in a market with random-interval payoffs without short-selling prohibition. A novel expected utility model is given to measure an investor's subjective view toward random interval wealth. Some techniques are proposed to transfer a complex programming involving interval numbers into a simple non-linear programming. Under the existence of the optimal strategy, relations between the optimal strategy and assets' prices are discussed. Some properties of the maximal utility function with respect to the endowment are given.

This article discusses the problem of utility maximization in a market with random-interval payoffs without short-selling prohibition. A novel expected utility model is given to measurean investor＇s subjective view toward random interval wealth. Some techniques are proposed to transfer a complex programming involving interval numbers into a simple noninear programming. Under the existence of the optimal strategy, relations between the optimal strategy and assets＇ prices are discussed. Some properties of the maximal utility function with respect to the endowment are given.