DYNAMIC PORTFOLIO CHOICE UNDER ASSET PRICE LOGNORMALITY

被引：0
|
作者：
NAIRAY, A
机构：
[1] CDC Capital, Incorporated, New York, NY 10019
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 1992年 / 24卷 / 8-9期
关键词：
D O I：
10.1016/0898-1221(92)90195-N
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper is a study of the diffusion portfolio model with asset price lognormality. It is shown that, for any well-behaved utility function, an explicit solution can be selected among the extremals by using elementary methods. Applications to several classes of utility functions are presented.
引用
收藏
页码：157 / 166
页数：10
相关论文
共 50 条
  • [31] Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?
    Faria, Goncalo
    Correia-da-Silva, Joao
    [J]. EUROPEAN JOURNAL OF FINANCE, 2016, 22 (07): : 601 - 626
  • [32] Fusion of Sentiment and Asset Price Predictions for Portfolio Optimization
    Muthivhi, Mufhumudzi
    van Zyl, Terence L.
    [J]. 2022 25TH INTERNATIONAL CONFERENCE ON INFORMATION FUSION (FUSION 2022), 2022,
  • [33] Ambiguity in asset pricing and portfolio choice: a review of the literature
    Guidolin, Massimo
    Rinaldi, Francesca
    [J]. THEORY AND DECISION, 2013, 74 (02) : 183 - 217
  • [34] Portfolio choice and asset prices: The importance of entrepreneurial risk
    Heaton, J
    Lucas, D
    [J]. JOURNAL OF FINANCE, 2000, 55 (03): : 1163 - 1198
  • [35] Ambiguity in asset pricing and portfolio choice: a review of the literature
    Massimo Guidolin
    Francesca Rinaldi
    [J]. Theory and Decision, 2013, 74 : 183 - 217
  • [36] Asset Prices and Portfolio Choice with Learning from Experience
    Ehling, Paul
    Graniero, Alessandro
    Heyerdahl-Larsen, Christian
    [J]. REVIEW OF ECONOMIC STUDIES, 2018, 85 (03): : 1752 - 1780
  • [37] Portfolio choice and asset prices when preferences are interdependent
    Curatola, Giuliano
    [J]. JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION, 2017, 140 : 197 - 223
  • [38] COMMODITY PRICE UNCERTAINTY AND OPTIMAL ASSET CHOICE
    BOYLE, GW
    [J]. JOURNAL OF ECONOMICS AND BUSINESS, 1990, 42 (02) : 133 - 140
  • [39] Dynamic portfolio choice with frictions
    Garleanu, Nicolae
    Pedersen, Lasse Heje
    [J]. JOURNAL OF ECONOMIC THEORY, 2016, 165 : 487 - 516
  • [40] Portfolio choice, attention allocation, and price comovement
    Mondria, Jordi
    [J]. JOURNAL OF ECONOMIC THEORY, 2010, 145 (05) : 1837 - 1864
12345