An explicit solution for optimal investment problems with autoregressive prices and exponential utility

• Autorzy: Sándor Deák , Miklós Rásonyi
• Języki publikacji: EN

Abstrakty

EN

We calculate explicitly the optimal strategy for an investor with exponential utility function when the price of a single risky asset (stock) follows a discrete-time autoregressive Gaussian process. We also calculate its performance and analyse it when the trading horizon tends to infinity. Dependence of the asymptotic performance on the autoregression parameter is determined. This provides, to the best of our knowledge, the first instance of a theorem linking directly the memory of the asset price process to the attainable satisfaction level of investors trading in the given asset.

Kategorie tematyczne

• 91G10: Portfolio theory
• 93E20: Optimal stochastic control

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2015
• Tom: 42
• Numer: 4
• Strony: 379-401

Daty

wydano

2015

Twórcy

autor

Sándor Deák

• Eötvös Loránd University, Pázmány Péter sétány 1/C, Budapest, Hungary

autor

Miklós Rásonyi

• Alfréd Rényi Institute of Mathematics, Hungarian Academy of Sciences, Reáltanoda utca 13-15, Budapest, Hungary

Identyfikatory

DOI

10.4064/am2267-12-2015