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Discrete-time expected-utility portfolio problem
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Mathematics
Area of mathematics
Mathematical optimization
Mathematical finance
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Words: 79
Articles: 2
For independent return innovations
ξ
n
and a
predictable process
of holdings
θ
n
, wealth obeys
X
n
=
(
1
+
r
)
X
n
−
1
+
θ
n
T
ξ
n
.
(29)
The investor chooses the holdings to maximize expected utility of terminal wealth.
Table of contents
79
2
Bellman equation for terminal-wealth utility
Discrete-time expected-utility portfolio problem
53
1
Monotonicity and concavity of a portfolio value function
Bellman equation for terminal-wealth utility
40
Ancestors
(5)
Mathematical finance
Mathematical optimization
Area of mathematics
Mathematics
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