Endre søk
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf
The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility
Stockholms universitet, Naturvetenskapliga fakulteten, Matematiska institutionen.
2016 (engelsk)Inngår i: Operations Research Proceedings 2014: Selected Papers of the Annual International Conference of the German Operations Research Society (GOR), RWTH Aachen University, Germany, September 2-5, 2014 / [ed] Marco Lübbecke, Arie Koster, Peter Letmathe, Reinhard Madlener, Britta Peis, Grit Walther, Springer, 2016, s. 45-51Kapittel i bok, del av antologi (Fagfellevurdert)
Abstract [en]

In the current paper we derive the exact analytical solution of the multiperiod portfolio choice problem for an exponential utility function. It is assumed that the asset returns depend on predictable variables and that the joint random process of the asset returns follows a vector autoregression. We prove that the optimal portfolio weights depend on the covariance matrices of the next two periods and the conditional mean vector of the next period. The case without predictable variables and the case of independent asset returns are partial cases of our solution.

sted, utgiver, år, opplag, sider
Springer, 2016. s. 45-51
Serie
Operations Research Proceedings
Emneord [en]
Multi-period portfolio, Exponential utility, Analytical solution
HSV kategori
Identifikatorer
URN: urn:nbn:se:su:diva-128384DOI: 10.1007/978-3-319-28697-6_7ISBN: 978-3-319-28695-2 (tryckt)ISBN: 978-3-319-28697-6 (tryckt)OAI: oai:DiVA.org:su-128384DiVA, id: diva2:914685
Tilgjengelig fra: 2016-03-24 Laget: 2016-03-24 Sist oppdatert: 2016-05-12bibliografisk kontrollert

Open Access i DiVA

Fulltekst mangler i DiVA

Andre lenker

Forlagets fulltekst

Søk i DiVA

Av forfatter/redaktør
Bodnar, Taras
Av organisasjonen

Søk utenfor DiVA

GoogleGoogle Scholar

doi
isbn
urn-nbn

Altmetric

doi
isbn
urn-nbn
Totalt: 91 treff
RefereraExporteraLink to record
Permanent link

Direct link
Referera
Referensformat
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Annet format
Fler format
Språk
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Annet språk
Fler språk
Utmatningsformat
  • html
  • text
  • asciidoc
  • rtf