An expansion in the model space in the context of utility maximization
An expansion in the model space in the context of utility maximization
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DOI：
10.1007/s00780-017-0353-3
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发表时间：
2014-10
影响因子：
1.7
通讯作者：
Kasper Larsen;Oleksii Mostovyi;Gordan Zitkovic
中科院分区：
文献类型：
--
作者：
Kasper Larsen;Oleksii Mostovyi;Gordan Zitkovic
在不完全金融市场的框架下，股票价格的动态由一个连续的半鞅(不一定是马尔可夫的)来描述，给出了功率投资者的价值函数的显式二阶展开公式--被视为风险过程的标的市场价格的函数。这使我们能够提供最优原始控制和对偶控制的一阶近似。文中还给出了两个具体的标定数值算例，说明了该方法的准确性。
In the framework of an incomplete financial market where the stock price dynamics are modeled by a continuous semimartingale (not necessarily Markovian), an explicit second-order expansion formula for the power investor’s value function—seen as a function of the underlying market price of risk process—is provided. This allows us to provide first-order approximations of the optimal primal and dual controls. Two specific calibrated numerical examples illustrating the accuracy of the method are also given.