Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework

Yan Dolinsky; Or Zuk

doi:10.1137/23m1576074

Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework

Yan Dolinsky, Or Zuk

Department of Statistics

The Hebrew University of Jerusalem

Research output: Contribution to journal › Article › peer-review

Abstract

The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in mathematical finance, we also consider an investor who is informed about the risky asset's price changes with a delay D. Our method of solution is based on the theory developed in [W. Barrett and P. Feinsilver, Linear Algebra Appl., 41 (1981), pp. 111-130] and guessing the optimal portfolio.

Original language	English
Article number	3
Pages (from-to)	SC31-SC41
Number of pages	11
Journal	SIAM Journal on Financial Mathematics
Volume	14
Issue number	3
DOIs	https://doi.org/10.1137/23m1576074
State	Published - 2023

Keywords

banded matrices
hedging with delay
utility maximization

All Science Journal Classification (ASJC) codes

Numerical Analysis
Finance
Applied Mathematics

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10.1137/23m1576074

Cite this

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title = "Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework",

abstract = "The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in mathematical finance, we also consider an investor who is informed about the risky asset's price changes with a delay D. Our method of solution is based on the theory developed in [W. Barrett and P. Feinsilver, Linear Algebra Appl., 41 (1981), pp. 111-130] and guessing the optimal portfolio.",

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Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework

Abstract

Keywords

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