摘要翻译:
本文研究了不完全布朗环境下时域变化的效用最大化问题。我们首先证明了原始价值函数和最优终端财富对于时间范围$T$是连续的。其次,我们举例说明,在较短的时间范围内应用$T$-horizon优化器而产生的预期实用程序$S$,$S<T$,可能不会像$S\Uparrow T$那样收敛到$T$-horizon值。最后,我们给出了阻止该现象存在的充要条件。
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英文标题:
《Horizon dependence of utility optimizers in incomplete models》
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作者:
Kasper Larsen, Hang Yu
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最新提交年份:
2010
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分类信息:
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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英文摘要:
This paper studies the utility maximization problem with changing time horizons in the incomplete Brownian setting. We first show that the primal value function and the optimal terminal wealth are continuous with respect to the time horizon $T$. Secondly, we exemplify that the expected utility stemming from applying the $T$-horizon optimizer on a shorter time horizon $S$, $S < T$, may not converge as $S\uparrow T$ to the $T$-horizon value. Finally, we provide necessary and sufficient conditions preventing the existence of this phenomenon.
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PDF链接:
https://arxiv.org/pdf/1006.5057