On the Bellman equation for asymptotics of utility from terminal wealth

Janusz Matkowski, and Łukasz Stettner. "On the Bellman equation for asymptotics of utility from terminal wealth." Applicationes Mathematicae 37.1 (2010): 89-97. <http://eudml.org/doc/280022>.

@article{JanuszMatkowski2010,
abstract = {The asymptotics of utility from terminal wealth is studied. First, a finite horizon problem for any utility function is considered. To study a long run infinite horizon problem, a certain positive homogeneity (PH) assumption is imposed. It is then shown that assumption (PH) is practically satisfied only by power and logarithmic utility functions.},
author = {Janusz Matkowski, Łukasz Stettner},
journal = {Applicationes Mathematicae},
keywords = {asymptotics; optimal portfolio; utility; terminal wealth; Bellman equation},
language = {eng},
number = {1},
pages = {89-97},
title = {On the Bellman equation for asymptotics of utility from terminal wealth},
url = {http://eudml.org/doc/280022},
volume = {37},
year = {2010},
}

TY - JOUR
AU - Janusz Matkowski
AU - Łukasz Stettner
TI - On the Bellman equation for asymptotics of utility from terminal wealth
JO - Applicationes Mathematicae
PY - 2010
VL - 37
IS - 1
SP - 89
EP - 97
AB - The asymptotics of utility from terminal wealth is studied. First, a finite horizon problem for any utility function is considered. To study a long run infinite horizon problem, a certain positive homogeneity (PH) assumption is imposed. It is then shown that assumption (PH) is practically satisfied only by power and logarithmic utility functions.
LA - eng
KW - asymptotics; optimal portfolio; utility; terminal wealth; Bellman equation
UR - http://eudml.org/doc/280022
ER -