We investigate the problem of maximizing the expected utility from terminal wealth of an HARA investor when the market price of risk is described by an unobservable random variable. We compute the optimal portfolios explicitly and compare them with the ones corresponding to the full observation case.
Mainini, A., Longo, M., Portfolio comparison with complete and partial observation for a hara investor, <<Portfolio comparison with complete and partial observation for a hara investor>>, 2013; 13/9 (13/9): 3-18 [http://hdl.handle.net/10807/55734]
Portfolio comparison with complete and partial observation for a hara investor
Mainini, Alessandra;Longo, Michele
2013
Abstract
We investigate the problem of maximizing the expected utility from terminal wealth of an HARA investor when the market price of risk is described by an unobservable random variable. We compute the optimal portfolios explicitly and compare them with the ones corresponding to the full observation case.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
