Browsing OPTIMAL PORTFOLIO OF A SENSITIVE INVESTOR IN A FINANCIAL MARKET by Subject "Power utility function,Diversification, Itˆo-integral, Semimartingale."
Browsing OPTIMAL PORTFOLIO OF A SENSITIVE INVESTOR IN A FINANCIAL MARKET by Subject
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Browsing OPTIMAL PORTFOLIO OF A SENSITIVE INVESTOR IN A FINANCIAL MARKET by Subject "Power utility function,Diversification, Itˆo-integral, Semimartingale."
A sensitive investor seeks to diversify assets and optimal portfolio which provide
the maximum expected returns at a given level of risk. Optimal portfolio problems
of an investor with logarithmic utility have been ...