Investment Strategies for HARA Utility Function: A General Algebraic Approximated Solution

Francesco Menoncin ()

No 2002034, LIDAM Discussion Papers IRES from Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

Abstract: In an incomplete financial market where an investor maximizes the expected HARA utility of his terminal real wealth, we present an algebraic approximated solution for the optimal portfolio composition. We take into account : (i) a (finite) set of assets, (ii) a (finite) set of state variables and (iii) a consumption price process, all of them described by general Ito processes; Finally, we supply an easy test for checking the goodness of the approximated result.

Keywords: Incomplete Market; Inflation Risk; Hamilton-Jacobi-Bellman equation; HARA utility function (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 18
Date: 2002-08-01
New Economics Papers: this item is included in nep-cfn
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Persistent link: https://EconPapers.repec.org/RePEc:ctl:louvir:2002034

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