The optimal portfolio strategy under different utility functions

DOI10.13338/J.ISSN.1006-8341.2016.01.007zbMATH Open1363.91099MaRDI QIDQ2823481FDOQ2823481

Authors: Xiajie Zhang, Xuanhui Liu, Danqin Jia 

Publication date: 6 October 2016

Published in: Basic Sciences Journal of Textile Universities (Search for Journal in Brave)

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zbMATH Keywords

jump-diffusion processstochastic differential gamelogarithmic utility functionpower utility functionoptimal portfolio strategyItô formula

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15)

Cited In (9)

• Title not available (Why is that?)
• Game-theoretic optimal portfolios for jump diffusions
• Optimal strategies for utility from terminal wealth with general bid and ask prices
• A note on portfolio optimization with path-dependent utility
• Optimization of investment returns with \(N\)-step utility functions
• Analysis of optimal strategies for a competing stock market portfolio model with a polyvariant profit function
• The study of optimal strategies of a competing stock market model with a bi-variant profit function
• Additive portfolio improvement and utility-efficient payoffs
• Title not available (Why is that?)

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