An Approximate Solution for Optimal Portfolio in Incomplete Markets

Francesco Menoncin ()
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Francesco Menoncin: Università di Brescia, Dipartimento di Scienze Economiche

A chapter in Mathematical Control Theory and Finance, 2008, pp 293-310 from Springer

Abstract: Summary In an incomplete financial market where an investor maximizes the expected constant relative risk aversion utility of his terminal wealth, we present an approximate solution for the optimal portfolio. We take into account a set of assets and a set of state variables, all of them described by general diffusion processes. Finally, we supply an easy test for checking the goodness of the approximate result.

Keywords: Risk Aversion; Asset Price; Optimal Portfolio; Risky Asset; Stochastic Volatility (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-69532-5_16

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DOI: 10.1007/978-3-540-69532-5_16

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