We consider a discrete-time financial market model with finite time horizon
and give conditions which guarantee the existence of an optimal strategy for
the problem of maximizing expected terminal utility. Equivalent martingale
measures are constructed using optimal strategies.Comment: Published at http://dx.doi.org/10.1214/105051605000000089 in the
Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute
of Mathematical Statistics (http://www.imstat.org
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