Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第45回ISCIE「確率システム理論と応用」国際シンポジウム(2013年11月, 沖縄)
On Effects of Estimations and Information for Expected Log-Utility Maximization Problems
Yuya Asakura
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ジャーナル フリー

2014 年 2014 巻 p. 90-99

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Effects of information and estimations in portfolio maximization problems of expected utility with respect to terminal wealth are considered. In this paper, assuming several strategies whose differences come from information of markets and estimations of a parameter, we theoretically and numerically study their effects to expected utility and distributions of wealth at the maturity, and characters of paths where the strategy works well or bad.
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© 2014 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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