Risk aversion asymptotics for power utility maximization
نویسندگان
چکیده
منابع مشابه
Risk Aversion Asymptotics for Power Utility Maximization
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to in nity or to one. The convergence of the optimal consumption is obtained for general semimartingale models while the convergence of the optimal trading strategy is obtained for continuous models. The limits are related to exponential an...
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ژورنال
عنوان ژورنال: Probability Theory and Related Fields
سال: 2010
ISSN: 0178-8051,1432-2064
DOI: 10.1007/s00440-010-0334-3