English, Article, Journal or magazine article edition: Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution Francesco, MENONCIN

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution
Author
  • Francesco, MENONCIN
Physical Description
  • preprint
Notes
  • In an incomplete financial market where an investor maximizes the expected HARA utility of his terminal real wealth, we present an algebraic approximated solution for the optimal portfolio composition. We take into account : (i) a (finite) set of assets, (ii) a (finite) set of state variables and (iii) a consumption price process, all of them described by general Ito processes; Finally, we supply an easy test for checking the goodness of the approximated result.
  • Incomplete Market; Inflation Risk; Hamilton-Jacobi-Bellman equation; HARA utility function
  • RePEc:ctl:louvir:2002034
Language
  • English
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