MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES

DOI10.1111/j.1467-9965.2007.00297.xzbMath1278.91128OpenAlexW2090133950MaRDI QIDQ3446062

Christer Borell

Publication date: 8 June 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00297.x

zbMATH Keywords

portfoliorisk aversionwealthlog-Brownian asset prices

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Related Items (3)

A class of stochastic Fredholm-algebraic equations and applications in finance ⋮ Portfolio choices: comparative statics under both expected return and volatility uncertainty ⋮ Rank-Dependent Utility and Risk Taking in Complete Markets

Cites Work

• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Partial differential equations. 4th ed
• On extensions of the Brunn-Minkowski and Prekopa-Leindler theorems, including inequalities for log concave functions, and with an application to the diffusion equation
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The American put is log-concave in the log-price
• Optimization Problems in the Theory of Continuous Trading
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• The relaxed investor and parameter uncertainty
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