英文标题：
《Portfolio Optimization with Nondominated Priors and Unbounded Parameters》
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作者：
Kerem Ugurlu
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最新提交年份：
2018
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英文摘要：
We consider classical Merton problem of terminal wealth maximization in finite horizon. We assume that the drift of the stock is following Ornstein-Uhlenbeck process and the volatility of it is following GARCH(1) process. In particular, both mean and volatility are unbounded. We assume that there is Knightian uncertainty on the parameters of both mean and volatility. We take that the investor has logarithmic utility function, and solve the corresponding utility maximization problem explicitly. To the best of our knowledge, this is the first work on utility maximization with unbounded mean and volatility in Knightian uncertainty under nondominated priors.
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中文摘要：
我们考虑了有限时间内终端财富最大化的经典默顿问题。我们假设股票的漂移遵循Ornstein-Uhlenbeck过程，波动遵循GARCH（1）过程。特别是，均值和波动率都是无界的。我们假设均值和波动率的参数都存在Knightian不确定性。我们假定投资者具有对数效用函数，并显式地求解相应的效用最大化问题。据我们所知，这是第一次在非占优先验条件下，研究奈特不确定性中具有无界均值和波动性的效用最大化问题。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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