The Exact Solution of Multi-period Portfolio Choice Problem with Exponential Utility

DOI10.1007/978-3-319-28697-6_7MaRDI QIDQ2806891zbMATH OpenOpenAlexFDO

Authors Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Publication date 19 May 2016

Published in Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-28697-6_7

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• On the equivalence of quadratic optimization problems commonly used in portfolio theory

Cited in

(3)

• Multi-period power utility optimization under stock return predictability
• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function

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