A computational scheme for the optimal strategy in an incomplete market

We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but construct a recursive computational algorithm which approxi...

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Veröffentlicht in:	Journal of economic dynamics & control Jg. 31; H. 11; S. 3591 - 3613
Hauptverfasser:	Keppo, Jussi, Meng, Xu, Sullivan, Michael G.
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	Amsterdam Elsevier B.V 01.11.2007 North-Holland Publ. Co Elsevier Elsevier Sequoia S.A
Schriftenreihe:	Journal of Economic Dynamics and Control
Schlagworte:	Algorithms Computational methods Endowment Endowment uncertainty Hedging Incomplete markets Intelligence Investment decision Market analysis Numerical methods Optimization algorithms Portfolio management Portfolio selection Portfolios Recursion Studies Utility maximization Utility measurement Wealth D52 Utility maximization G11 Incomplete markets Endowment uncertainty Numerical methods
ISSN:	0165-1889, 1879-1743
Online-Zugang:	Volltext
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