Portfolio selection in stochastic markets with exponential utility functions
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Publication:1026576
DOI10.1007/s10479-008-0406-2zbMath1163.91374OpenAlexW2164522554MaRDI QIDQ1026576
Ethem Çanakoğlu, Süleyman Özekici
Publication date: 25 June 2009
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-008-0406-2
Related Items (18)
Joint tails impact in stochastic volatility portfolio selection models ⋮ On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability ⋮ Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions ⋮ HARA frontiers of optimal portfolios in stochastic markets ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Portfolio selection with hyperexponential utility functions ⋮ Optimal halting policies in Markov population decision chains with constant risk posture ⋮ A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function ⋮ Time-consistent investment policies in Markovian markets: a case of mean-variance analysis ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Time consistent policy of multi-period mean-variance ⋮ Bayesian inference of the multi-period optimal portfolio for an exponential utility ⋮ Portfolio selection in stochastic markets with HARA utility functions ⋮ Constant risk aversion in stochastic contests with exponential completion times ⋮ The optimal multi-period hedging model of currency futures and options with exponential utility ⋮ Portfolio selection with imperfect information: A hidden Markov model ⋮ On the equivalence of quadratic optimization problems commonly used in portfolio theory
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