Buckley, Winston S.; Brown, Garfield O.; Marshall, Mario - In: European Journal of Operational Research 221 (2012) 3, pp. 584-592
We extend the theory of asymmetric information in mispricing models for stocks following geometric Brownian motion to constant relative risk averse investors. Mispricing follows a continuous mean-reverting Ornstein–Uhlenbeck process. Optimal portfolios and maximum expected log-linear utilities...