Along but beyond mean-variance: Utility maximization in a semimartingale model

Arbeitspapier

It is well known that under certain assumptions the strategy of an investor maximizing his expected utility coincides with the mean-variance optimal strategy. In this paper we show that the two strategies are not equal in general and find the connection between a utility maximizing and a mean-variance optimal strategy in a continuous semimartingale model. That is done by showing that the utility maximizing strategy of a CARA investor can be expressed in terms of expectation and the expected quadratic variation of the underlying price process. It coincides with the mean-variance optimal strategy if the underlying price process is a local martingale.

Angaben zum Objekt

• ISBN: 978-952-462-427-5
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Bank of Finland Research Discussion Papers ; No. 5/2008

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Optimization Techniques; Programming Models; Dynamic Analysis
• Thema: mean-variance portfolios ; utility maximization ; dynamic portfolio selection ; quadratic variation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Huhtala, Heli
• Ereignis: Veröffentlichung
• (wer): Bank of Finland
• (wo): Helsinki
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/212096
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ