Exponential Utility Maximization in a Discrete Time Gaussian Framework
Mathematical Finance
2023-06-27 v2 Portfolio Management
Abstract
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in Mathematical Finance, we also consider an investor who is informed about the risky asset's price changes with a delay. Our method of solution is based on the theory developed in [4] and guessing the optimal portfolio.
Keywords
Cite
@article{arxiv.2305.18136,
title = {Exponential Utility Maximization in a Discrete Time Gaussian Framework},
author = {Yan Dolinsky and Or Zuk},
journal= {arXiv preprint arXiv:2305.18136},
year = {2023}
}
Comments
2 figures