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Exponential Utility Maximization in a Discrete Time Gaussian Framework

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  • Yan Dolinsky
  • Or Zuk

Abstract

The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in Mathematical Finance, we also consider an investor who is informed about the risky asset's price changes with a delay. Our method of solution is based on the theory developed in [4] and guessing the optimal portfolio.

Suggested Citation

  • Yan Dolinsky & Or Zuk, 2023. "Exponential Utility Maximization in a Discrete Time Gaussian Framework," Papers 2305.18136, arXiv.org, revised Jun 2023.
    • Handle: RePEc:arx:papers:2305.18136
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    File URL: http://arxiv.org/pdf/2305.18136
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    References listed on IDEAS

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    1. Peter Bank & Yan Dolinsky, 2020. "A Note on Utility Indifference Pricing with Delayed Information," Papers 2011.05023, arXiv.org, revised Mar 2021.
    2. Rüdiger Frey, 2000. "Risk Minimization with Incomplete Information in a Model for High‐Frequency Data," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 215-225, April.
    3. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
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    Cited by:

    1. Yan Dolinsky & Or Zuk, 2023. "Explicit Computations for Delayed Semistatic Hedging," Papers 2308.10550, arXiv.org.

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