An explicit solution for optimal investment problems with autoregressive prices and exponential utility (Q2787101)
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scientific article; zbMATH DE number 6545364
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| English | An explicit solution for optimal investment problems with autoregressive prices and exponential utility |
scientific article; zbMATH DE number 6545364 |
Statements
An explicit solution for optimal investment problems with autoregressive prices and exponential utility (English)
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24 February 2016
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expected utility maximization
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Gaussian autoregressive process
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memory of a stochastic process
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0.8117386698722839
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0.8077252507209778
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0.7933257818222046
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0.7654542326927185
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0.7585694789886475
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