On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability

DOI10.1016/j.ejor.2015.04.039zbMath1346.91261arXiv1207.1037OpenAlexW2169686235MaRDI QIDQ319811

Taras Bodnar, Nestor Parolya, Wolfgang Schmid

Publication date: 6 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.1037

zbMATH Keywords

expected utility optimizationexponential utility functionmulti-period asset allocationreturn predictability

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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