English, Article, Journal or magazine article edition: Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution Francesco, MENONCIN

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution
Author
  • Francesco, MENONCIN
Physical Description
  • preprint
Notes
  • This paper analyses the portfolio problem of an investor who wants to maximize the expected power utility of his terminal wealth both in a complete and an incomplete financial market. We derive sufficient conditions for having a closed form solution. These conditions must hold on a suitable combination of the drift and diffusion coefficients of the stochastic processes describing the state variables and the asset prices. In particular, we show that our framework leads to two cases : (i) the case solvable thorough a log-linear value fucntion, and (ii) the case solvable thorough a log quadratie value function.
  • Optimal portfolio choice, Incomplete market, Hamilton-Jacobi-Bellman equation
  • RePEc:ctl:louvir:2002033
Language
  • English
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