Explicit solutions of some utility maximization problems in incomplete markets

[摘要] In this note we prove Holder-type inequalities for products of certain functionals of correlated Brownian motions. These estimates are applied to the study of optimal portfolio choice in incomplete markets when the investor's utility is of the form U(X, Y) = g(X)h(Y), where X is the investor's wealth and Y is a random factor not perfectly correlated with the market. Explicit solutions are found when g is the exponential, power, or logarithmic utility function. (C) 2004 Elsevier B.V. All rights reserved.

[发布日期] 2004-11-01

[关键词] expected utility;incomplete markets;portfolio optimization;distortion