On Effects of Estimations and Information for Expected Log-Utility Maximization Problems
On Effects of Estimations and Information for Expected Log-Utility Maximization Problems
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DOI：
10.5687/sss.2014.90
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发表时间：
2014-05
期刊：
影响因子：
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通讯作者：
Y. Asakura
中科院分区：
文献类型：
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作者：
Y. Asakura
考虑了关于终端财富的期望效用的投资组合最大化问题中的信息和估计的影响。本文假设几种策略的差异来源于市场信息和参数估计，从理论和数值上研究了它们对预期效用和到期时财富分布的影响，以及策略有效和无效路径的特征。
E ff ects of information and estimations in portfolio maximization problems of expected utility with respect to terminal wealth are considered. In this paper, assuming several strategies whose di ff erences come from information of mar-kets and estimations of a parameter, we theoretically and numerically study their e ff ects to expected utility and distributions of wealth at the maturity, and characters of paths where the strategy works well or bad.