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...

Celý popis

Uložené v:

Podrobná bibliografia
Vydané v:	Journal of economic dynamics & control Ročník 31; číslo 11; s. 3591 - 3613
Hlavní autori:	Keppo, Jussi, Meng, Xu, Sullivan, Michael G.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Amsterdam Elsevier B.V 01.11.2007 North-Holland Publ. Co Elsevier Elsevier Sequoia S.A
Edícia:	Journal of Economic Dynamics and Control
Predmet:	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
On-line prístup:	Získať plný text
Tagy:	Pridať tag Žiadne tagy, Buďte prvý, kto otaguje tento záznam!

Buďte prvý, kto okomentuje tento záznam!