Explicit solutions of some utility maximization problems in incomplete markets

Michael Tehranchi

Stochastic Processes and their Applications, 2004, vol. 114, issue 1, 109-125

Abstract: In this note we prove Hölder-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.

Keywords: Expected; utility; Incomplete; markets; Portfolio; optimization; Distortion (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (19)

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