DocumentCode
2192642
Title
Continuous-Time Dynamic Portfolio Selection Based on Exponential Utility Maximization in an Incomplete Market
Author
Chang Hao ; Rong, Xi-min
Author_Institution
Dept. of Math., Tianjin Polytech. Univ., Tianjin, China
fYear
2010
fDate
24-26 Aug. 2010
Firstpage
1
Lastpage
4
Abstract
A continuous-time dynamic portfolio selection problem is studied in an incomplete market. Explicit form solutions of optimal portfolios are derived in a complete market for exponential utility maximization. According to the relations of the optimal strategy obtained by Zhang in 2007 between in the completed market and in the original incomplete one, we get directly the optimal strategy in the original incomplete market and compare with the one in the sense of power-type utility function.
Keywords
marketing; optimisation; continuous time dynamic portfolio selection; exponential utility maximization; incomplete market; optimal portfolios; power type utility function; Economics; Investments; Optimization; Portfolios; Random variables; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Management and Service Science (MASS), 2010 International Conference on
Conference_Location
Wuhan
Print_ISBN
978-1-4244-5325-2
Electronic_ISBN
978-1-4244-5326-9
Type
conf
DOI
10.1109/ICMSS.2010.5577993
Filename
5577993
Link To Document