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If terminal utility is increasing and concave and each Bellman supremum is attained, backward induction shows that every remaining-horizon value function is increasing and concave. Concavity follows by combining optimal portfolios for two initial wealths with the same convex coefficient.

Ancestors (7)

  1. Bellman equation for terminal-wealth utility
  2. Discrete-time expected-utility portfolio problem
  3. Mathematical finance
  4. Mathematical optimization
  5. Area of mathematics
  6. Mathematics
  7. Home