A sensitivity analysis of the long-term expected utility of optimal portfolios
Abstract
This talk discusses the sensitivity of the long-term expected utility of optimal portfolios. Under an incomplete market given by a factor model, we consider the utility maximization problem with long-time horizon. The main... [ view full abstract ]
Authors
- Hyungbin Park (Seoul National University)
- Stephan Sturm (Worcester Polytechnic Institute)
Topic Areas
Asymptotics , Incompleteness , Optimal Investment
Session
TU-P-B2 » Utility Maximization: Opinions, Constraints and Computation (14:30 - Tuesday, 17th July, Beckett 2)
Presentation Files
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