Arbeitspapier
Utility Maximization and Duality
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic utility. The relationship between the optimal portfolio, the optimal martingale measure in the dual problem and the optimal value function of the problem is described by an BSDE. For a totally unhedgeable price for instan- taneous risk, isoelastic utility of terminal wealth can be maximized using a portfolio consisting of the locally risk-free bond and a lo- cally efficient fund only. In a markovian market model we find a non-linear PDE for the logarithm of the value function. From the solution we can construct the optimal portfolio and the solution of the dual problem.
- Sprache
-
Englisch
- Erschienen in
-
Series: CoFE Discussion Paper ; No. 00/34
- Klassifikation
-
Wirtschaft
- Thema
-
Erwartungsnutzen
Portfolio-Management
Hedging
Analysis
Stochastischer Prozess
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Leitner, Johannes
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Konstanz, Center of Finance and Econometrics (CoFE)
- (wo)
-
Konstanz
- (wann)
-
2000
- Handle
- URN
-
urn:nbn:de:bsz:352-opus-6176
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Leitner, Johannes
- University of Konstanz, Center of Finance and Econometrics (CoFE)
Entstanden
- 2000
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