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Optimality of Myopic Strategies for Discrete Time Market: The Case of Exponential Utility


Jianguang Liu


Trent University

Nikolai Dokuchaev


Curtin University of Technology
June 17, 2008


Abstract:     
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, G11

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Date posted: July 21, 2008  

Suggested Citation

Liu, Jianguang and Dokuchaev, Nikolai, Optimality of Myopic Strategies for Discrete Time Market: The Case of Exponential Utility (June 17, 2008). Available at SSRN: http://ssrn.com/abstract=1162452 or http://dx.doi.org/10.2139/ssrn.1162452

Contact Information

Jianguang Liu
Trent University ( email )
1600 West Bank Drive
Peterborough, Ontario K9J 7B8
Canada
Nikolai Dokuchaev (Contact Author)
Curtin University of Technology ( email )
GPO Box U1987
Perth, WA WA
Australia
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