Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Non-convex dynamic programming and optimal investment   We establish the existence of minimizers in a rather general setting of
dynamic stochastic optimization without assuming either convexity or coercivity
of the objective function. We apply this to prove the existence of optimal
portfolios for non-concave utility maximization problems in financial market
models with frictions (such as illiquidity), a first result of its kind. The
proofs are based on the dynamic programming principle whose validity is
established under quite general assumptions.

25
The categories of this paper are: patt-sol
34
The categories of this paper are: chem-ph
9
The categories of this paper are: nlin
31
The categories of this paper are: ao-sci
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The categories of this paper are: atom-ph
37
The categories of this paper are: supr-con
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The categories of this paper are: eess
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The categories of this paper are: bayes-an
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The categories of this paper are: chao-dyn
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The categories of this paper are: cmp-lg
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The categories of this paper are: math-ph
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The categories of this paper are: hep-th
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The categories of this paper are: hep-ex
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The categories of this paper are: nucl-ex
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The categories of this paper are: acc-phys
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The categories of this paper are: dg-ga