Optimality of Myopic Strategies for Discrete Time Market: The Case of Exponential Utility
Curtin University of Technology
June 17, 2008
We found conditions that ensure that the optimal strategy is myopic for the case of exponential utility function for multi-stock discrete time market model with serial correlations.
Number of Pages in PDF File: 7
Keywords: stochastic discrete time market, optimal portfolio, myopic strategies, exponential utility
JEL Classification: C44, D81, D84, G11working papers series
Date posted: July 21, 2008
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