Concave Utility Maximization without the Concavification Principle

报告题目:Concave Utility Maximization without the Concavification Principle


报告人:戴民  教授  新加坡国立大学



摘要:The problems of non-concave utility maximization appear in many areas, such as in behavior economics, incentive schemes, and goal problems. The standard approach to solving these problems is to use the concavification principle. We provide a framework for solving non-concave utility maximization problems, where the concavification principle may not hold and the utility functions can be discontinuous. In particular, we find that adding portfolio constraints, which makes the concavification principle invalid, can significantly affect economic insights in the existing literature. Theoretically, we show that a monotone, stable, and consistent finite difference numerical scheme still converges to the value function under the framework.