An explicit solution for optimal investment problems with autoregressive prices and exponential utility

DOI10.4064/AM2267-12-2015zbMath1331.93223arXiv1501.01506OpenAlexW2963338394MaRDI QIDQ2787101

Miklós Rásonyi, Sándor Deák

Publication date: 24 February 2016

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.01506

zbMATH Keywords

expected utility maximizationGaussian autoregressive processmemory of a stochastic process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

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Cites Work

• Unnamed Item
• Asymptotic arbitrage and large deviations
• Long memory processes and fractional integration in econometrics

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