Optimal investment strategies with bounded risks, general utilities, and goal achieving

Citation
N. Dokuchaev et Xy. Zhou, Optimal investment strategies with bounded risks, general utilities, and goal achieving, J MATH ECON, 35(2), 2001, pp. 289-309
Citations number
20
Language
INGLESE
art.tipo
Article
Categorie Soggetti
Economics
Journal title
JOURNAL OF MATHEMATICAL ECONOMICS
ISSN journal
0304-4068 → ACNP
Volume
35
Issue
2
Year of publication
2001
Pages
289 - 309
Database
ISI
SICI code
0304-4068(200104)35:2<289:OISWBR>2.0.ZU;2-E
Abstract
This paper investigates an investment/hedging problem in a multi-stock fina ncial market with random appreciation rates. Only those strategies with bou nded risks (i.e. they guarantee that a given claim will be replicated with an error not exceeding a given level) are considered. Moreover, admissible strategies are based upon observations of market prices rather than those o f the appreciation rates. An optimal strategy, which does not depend on the current estimation of the appreciation rates of the stocks, is obtained fo r a model with a general utility function. The result is further shown to c over some important special cases, especially the so-called goal achieving problem. (C) 2001 Elsevier Science B.V. All rights reserved.