短通信:离散时间高斯框架下的指数效用最大化

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2023-09-05 DOI:10.1137/23m1576074

Yan Dolinsky, Or Zuk

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引用次数: 0

摘要

这篇短文的目的是在标的资产具有多元正态分布的情况下，提出离散时间指数效用最大化问题的解决方案。除了数学金融中通常考虑的设置之外，我们还考虑一个投资者，他被告知风险资产的价格变化有延迟。我们的解决方法是基于[W.]巴雷特和P. Feinsilver，线性代数应用。， 41 (1981)， pp 111-130]和猜测最优投资组合。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework

The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in mathematical finance, we also consider an investor who is informed about the risky asset’s price changes with a delay . Our method of solution is based on the theory developed in [W. Barrett and P. Feinsilver, Linear Algebra Appl., 41 (1981), pp. 111–130] and guessing the optimal portfolio.

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.