All Questions
3 questions
3
votes
0
answers
114
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How can you interpret one of the parameters of optimal consumption at the Merton portfolio problem?
Statement: Let the dynamics of wealth of the agent satisfy
$$dX_{t} =
\pi_tX_t\Big(\mu dt+\sigma dB_{t}\Big)- c_t X_t dt, \qquad \textrm{with}\quad X_0=x_0 \in \mathbb{R},$$
where $(\pi,c)$ is an ...
- 31
2
votes
0
answers
401
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Calculating the optimal portfolio for an investor with quadratic utility
The problem is from Asset Pricing and Portfolio Theory by Back and can be found here.
The relevant info from section 2.5 can be found here. Given that we have the Expected value and the variance of ...
- 237
4
votes
1
answer
1k
views
Portfolio choice problem of a CARA investor with n risky assets
Ok, I am working on a problem that consists of the following:
I am looking to solve the portfolio choice optimization problem (maximizing utility with a known utility function) in the case where all ...
- 237