Economics at your fingertips  

Portfolio Optimization with Nondominated Priors and Unbounded Parameters

Kerem Ugurlu

Papers from

Abstract: We consider classical Merton problem of terminal wealth maximization in finite horizon. We assume that the drift of the stock is following Ornstein-Uhlenbeck process and the volatility of it is following GARCH(1) process. In particular, both mean and volatility are unbounded. We assume that there is Knightian uncertainty on the parameters of both mean and volatility. We take that the investor has logarithmic utility function, and solve the corresponding utility maximization problem explicitly. To the best of our knowledge, this is the first work on utility maximization with unbounded mean and volatility in Knightian uncertainty under nondominated priors.

Date: 2018-07
New Economics Papers: this item is included in nep-mic and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in Papers from
Bibliographic data for series maintained by arXiv administrators ().

Page updated 2020-04-28
Handle: RePEc:arx:papers:1807.05773