Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.

2022 ◽  
Vol 418 ◽  
pp. 126836
Author(s):  
Yichen Zhu ◽  
Marcos Escobar-Anel
Keyword(s):  
Utility Maximization ◽  
Hara Utility

HARA utility maximization in a Markov-switching bond–stock market

2017 ◽  
Vol 17 (11) ◽  
pp. 1715-1733 ◽  
Author(s):  
M. Escobar ◽  
D. Neykova ◽  
R. Zagst
Keyword(s):  
Stock Market ◽  
Utility Maximization ◽  
Markov Switching ◽  
Hara Utility

Non-Concave Utility Maximization without the Concavification Principle

2019 ◽  
Author(s):  
Min Dai ◽  
Steven Kou ◽  
Shuaijie Qian ◽  
Xiangwei Wan
Keyword(s):  
Utility Maximization

SHORT-RUN TAX-RESPONSE IN A UTILITY-MAXIMIZATION FRAMEWORK

1970 ◽  
Vol 23 (4) ◽  
pp. 365-372
Author(s):  
FREDERICK D. SEBOLD
Keyword(s):  
Utility Maximization ◽  
Short Run

scholarly journals Diffusion approximations for randomly arriving expert opinions in a financial market with Gaussian drift

2021 ◽  
Vol 58 (1) ◽  
pp. 197-216 ◽  
Author(s):  
Jörn Sass ◽  
Dorothee Westphal ◽  
Ralf Wunderlich
Keyword(s):  
Stock Returns ◽  
Financial Market ◽  
Discrete Time ◽  
High Frequency ◽  
Utility Maximization ◽  
Limit Theorems ◽  
Approximate Solutions ◽  
Diffusion Approximations ◽  
Expert Opinions ◽  
Arrival Intensity

AbstractThis paper investigates a financial market where stock returns depend on an unobservable Gaussian mean reverting drift process. Information on the drift is obtained from returns and randomly arriving discrete-time expert opinions. Drift estimates are based on Kalman filter techniques. We study the asymptotic behavior of the filter for high-frequency experts with variances that grow linearly with the arrival intensity. The derived limit theorems state that the information provided by discrete-time expert opinions is asymptotically the same as that from observing a certain diffusion process. These diffusion approximations are extremely helpful for deriving simplified approximate solutions of utility maximization problems.

scholarly journals Performance Evaluation, Portfolio Selection, and HARA Utility

2006 ◽  
Vol 12 (8) ◽  
pp. 649-669 ◽  
Author(s):  
Wolfgang Breuer ◽  
Marc Gürtler
Keyword(s):  
Performance Evaluation ◽  
Portfolio Selection ◽  
Hara Utility
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