On the Bellman equation for asymptotics of utility from terminal wealth

• Autorzy: Janusz Matkowski , Łukasz Stettner
• Języki publikacji: EN

Abstrakty

EN

The asymptotics of utility from terminal wealth is studied. First, a finite horizon problem for any utility function is considered. To study a long run infinite horizon problem, a certain positive homogeneity (PH) assumption is imposed. It is then shown that assumption (PH) is practically satisfied only by power and logarithmic utility functions.

Kategorie tematyczne

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

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2010
• Tom: 37
• Numer: 1
• Strony: 89-97

Daty

wydano

2010

Twórcy

autor

Janusz Matkowski

• Institute of Mathematics, Computer Science and Econometrics, University of Zielona Góra, Podgórna 50, 65-246 Zielona Góra, Poland
• Institute of Mathematics, Silesian University, 40-007 Katowice, Poland

autor

Łukasz Stettner

• Institute of Mathematics, Polish Academy of Sciences, Śniadeckich 8, 00-956 Warszawa, Poland
• Academy of Finance

Identyfikatory

DOI

10.4064/am37-1-6