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Continuous-Time Dynamic Portfolio Selection Based on Exponential Utility Maximization in an Incomplete Market

机译:不完全市场中基于指数效用最大化的连续时间动态投资组合选择

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A continuous-time dynamic portfolio selection problem is studied in an incomplete market. Explicit form solutions of optimal portfolios are derived in a complete market for exponential utility maximization. According to the relations of the optimal strategy obtained by Zhang in 2007 between in the completed market and in the original incomplete one, we get directly the optimal strategy in the original incomplete market and compare with the one in the sense of power-type utility function.
机译:在不完全市场中研究了连续时间动态投资组合选择问题。最佳投资组合的显式解决方案是在一个完整的市场中衍生出来的,以实现指数效用最大化。根据张在2007年获得的最优策略在完整市场和原始不完全市场之间的关系,我们直接得到了原始不完整市场中的最优策略,并从权力型效用函数的角度与之进行了比较。 。

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