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The long-run excess optimal power utility of an informed investor and its approximation - MaRDI portal

The long-run excess optimal power utility of an informed investor and its approximation

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Publication:2627584

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DOI10.1504/IJOR.2015.069181zbMath1362.91034OpenAlexW2095173011MaRDI QIDQ2627584

Winston S. Buckley

Publication date: 31 May 2017

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

Full work available at URL: https://doi.org/10.1504/ijor.2015.069181

zbMATH Keywords

asymmetric information mean risk aversion long-term investment mispricing optimal portfolios variances informed investors excess utility optimal power utility optimal utility power preference

Mathematics Subject Classification ID

Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Portfolio theory (91G10)

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