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Closed-form portfolio optimization under GARCH models
Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13
This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...
Persistent link: https://www.econbiz.de/10012880259
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An approximate solution for optimal portfolio in incomplete markets
Menoncin, Francesco - In: Mathematical control theory and finance, (pp. 293-310). 2008
Persistent link: https://www.econbiz.de/10003755883
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On the existence of optimal portfolios for the utility maximization problem in discrete time financial market models
Rásonyi, Miklós; Stettner, Łukasz - In: From stochastic calculus to mathematical finance : the …, (pp. 589-608). 2006
Persistent link: https://www.econbiz.de/10003287180
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Optimum constrained portfolio rules in a diffusion market
Durrell, Fernando J. - In: Applied mathematical finance 13 (2006) 4, pp. 285-307
Persistent link: https://www.econbiz.de/10003396197
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Rational hedging and valuation with utility-based preferences
Becherer, Dirk (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639701
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Polynomial utility
Lollike, Alexander Sevel; Steffensen, Mogens - In: International journal of theoretical and applied … 26 (2023) 6/7, pp. 1-28
Persistent link: https://www.econbiz.de/10014500193
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A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen; Escobar, Marcos; Davison, Matt - In: Computational economics 62 (2023) 3, pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894
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Regularity properties in a state-constrained expected utility maximization problem
Lazgham, Mourad - In: Mathematical methods of operations research 88 (2018) 2, pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
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Exact and approximate solutions to the problem of precautionary savings
Talmain, Gabriel - 1994
Persistent link: https://www.econbiz.de/10000895556
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Exact and approximate solutions to the problem of precautionary savings
Talmain, Gabriel - 1995 - Rev
Persistent link: https://www.econbiz.de/10000561630