An Asymptotic Expansion Scheme for Optimal Investment Problems
An Asymptotic Expansion Scheme for Optimal Investment Problems
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DOI：
10.1023/b:sisp.0000026045.26381.1d
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发表时间：
2004-05
影响因子：
0.8
通讯作者：
Akihiko Takahashi;N. Yoshida
中科院分区：
文献类型：
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作者：
Akihiko Takahashi;N. Yoshida
我们将提出一种新的计算方案来评估最优投资组合。我们的方法是基于一种推广的渐近展开法，该方法是最近由Kunitomo和Takahashi(1992,1995,2001,2003)，Yoshida(1992)，Takahashi(1995,1999)，Takahashi和Yoshida(2001)分析未定权益的定价问题的推广。特别地，我们将用马尔可夫系数显式地推导出金融市场中终端财富效用最大化的最优投资组合公式，并给出一个幂效用函数的数值例子。
We shall propose a new computational scheme for the evaluation of the optimal portfolio for investment. Our method is based on an extension of the asymptotic expansion approach which has been recently developed for pricing problems of the contingent claims’ analysis by Kunitomo and Takahashi (1992, 1995, 2001, 2003), Yoshida (1992), Takahashi (1995, 1999), Takahashi and Yoshida (2001). In particular, we will explicitly derive a formula of the optimal portfolio associated with maximizing utility from terminal wealth in a financial market with Markovian coefficients, and give a numerical example for a power utility function.