An explicit solution for optimal investment problems with autoregressive prices and exponential utility

Sándor Deák, and Miklós Rásonyi. "An explicit solution for optimal investment problems with autoregressive prices and exponential utility." Applicationes Mathematicae 42.4 (2015): 379-401. <http://eudml.org/doc/279266>.

@article{SándorDeák2015,
abstract = {We calculate explicitly the optimal strategy for an investor with exponential utility function when the price of a single risky asset (stock) follows a discrete-time autoregressive Gaussian process. We also calculate its performance and analyse it when the trading horizon tends to infinity. Dependence of the asymptotic performance on the autoregression parameter is determined. This provides, to the best of our knowledge, the first instance of a theorem linking directly the memory of the asset price process to the attainable satisfaction level of investors trading in the given asset.},
author = {Sándor Deák, Miklós Rásonyi},
journal = {Applicationes Mathematicae},
keywords = {expected utility maximization; Gaussian autoregressive process; memory of a stochastic process},
language = {eng},
number = {4},
pages = {379-401},
title = {An explicit solution for optimal investment problems with autoregressive prices and exponential utility},
url = {http://eudml.org/doc/279266},
volume = {42},
year = {2015},
}

TY - JOUR
AU - Sándor Deák
AU - Miklós Rásonyi
TI - An explicit solution for optimal investment problems with autoregressive prices and exponential utility
JO - Applicationes Mathematicae
PY - 2015
VL - 42
IS - 4
SP - 379
EP - 401
AB - We calculate explicitly the optimal strategy for an investor with exponential utility function when the price of a single risky asset (stock) follows a discrete-time autoregressive Gaussian process. We also calculate its performance and analyse it when the trading horizon tends to infinity. Dependence of the asymptotic performance on the autoregression parameter is determined. This provides, to the best of our knowledge, the first instance of a theorem linking directly the memory of the asset price process to the attainable satisfaction level of investors trading in the given asset.
LA - eng
KW - expected utility maximization; Gaussian autoregressive process; memory of a stochastic process
UR - http://eudml.org/doc/279266
ER -