Journal Name:
- Mathematica Æterna
Abstract (2. Language):
Studying the optimal dynamic portfolio problems and analyzing a
Bayesian investor, who predicts the future with the past information,
are developed. Adopting the martingale approach and Cameron-Martin
theorem, the maximization of expected utility is converted to a system of differential equations. For the case of a given utility function, a closed-form solution of the terminal wealth is found.
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FULL TEXT (PDF):
- 7
449-460