Optimal Investment with Noise Trading Risk

被引：0
|
作者：
Yunhui XU
Zhongfei LI
Ken Seng TAN
机构：
[1] Sun Yat-Sen University,Lingnan College
[2] University of Waterloo,Department of Statistics and Actuarial Science
[3] Central University of Finance and Economics,China Institute for Actuarial Science
来源：
Journal of Systems Science and Complexity | 2008年 / 21卷
关键词：
Dynamic investment; noise trade; overlapping generation; serial correlation;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper investigates the optimal dynamic investment for an investor who maximizes constant absolute risk aversion (CARA) utility in a discrete-time market with a riskfree bond and a risky stock. The risky stock is assumed to present both the dividend risk and the price risk. With our assumptions, the dividend risk is equivalent to fundamental risk, and the price risk is equivalent to the noise trading risk. The analytical expression for the optimal investment strategy is obtained by dynamic programming. The main result in this paper highlights the importance of differentiating between noise trading risk and fundamental risk for the optimal dynamic investment.
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页码：519 / 526
页数：7
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