PORTFOLIO SELECTION IN A LOGNORMAL MARKET WHEN THE INVESTOR HAS A POWER UTILITY FUNCTION

J. A. Ohlson and W. T. Ziemba

Chapter 5 in Selected Works of William T Ziemba:A Memorial Volume, 2024, pp 81-95 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:Introduction and SummaryThe Portfolio and Surrogate ProblemsComparing S with Quadratic ApproximationsSolving the Surrogate ProblemREFERENCES

Keywords: William Ziemba; Financial Planning Models; Racetrack Betting; Sports Analytics; Market Anomalies; Risk Factors (search for similar items in EconPapers)
JEL-codes: C44 C6 G11 G12 (search for similar items in EconPapers)
Date: 2024
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