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A Closed Form Solution for Optimal Dynamic Portfolio Problems

Journal Name:

  • Mathematica Æterna

Publication Year:

  • 2011

Key Words:

Author NameUniversity of Author
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): 
PDF icon arastrmx_135290_1_pp_449-460.pdf
  • 7
449-460
  • English

REFERENCES

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