Explicit solutions of some utility maximization problems in incomplete markets

被引：29
|
作者：
Tehranchi, M [1 ]
机构：
[1] Univ Texas, Dept Math, Austin, TX 78712 USA
来源：
STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2004年 / 114卷 / 01期
基金：
美国国家科学基金会;
关键词：
expected utility; incomplete markets; portfolio optimization; distortion;
D O I：
10.1016/j.spa.2004.05.007
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this note we prove Holder-type inequalities for products of certain functionals of correlated Brownian motions. These estimates are applied to the study of optimal portfolio choice in incomplete markets when the investor's utility is of the form U(X, Y) = g(X)h(Y), where X is the investor's wealth and Y is a random factor not perfectly correlated with the market. Explicit solutions are found when g is the exponential, power, or logarithmic utility function. (C) 2004 Elsevier B.V. All rights reserved.
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页码：109 / 125
页数：17
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