On the Bellman equation for asymptotics of utility from terminal wealth
Volume 37 / 2010
Applicationes Mathematicae 37 (2010), 89-97
MSC: Primary 91G10; Secondary 93E20.
DOI: 10.4064/am37-1-6
Abstract
The asymptotics of utility from terminal wealth is studied. First, a finite horizon problem for any utility function is considered. To study a long run infinite horizon problem, a certain positive homogeneity (PH) assumption is imposed. It is then shown that assumption (PH) is practically satisfied only by power and logarithmic utility functions.
