OurBigBook.comSite Source code

Bellman equation for terminal-wealth utility

For terminal utility

U

and independent return innovations,

V (N, x) = U (x), V (n, x) = sup_{θ \in R^{d}} E [V (n + 1, (1 + r) x + θ^{T} ξ_{n + 1})] .

Table of contents 53 1
- Monotonicity and concavity of a portfolio value function Bellman equation for terminal-wealth utility 40

 Ancestors (6)

 Incoming links (1)

Solution