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An Approximate Solution for Optimal Portfolio in Incomplete Markets

In: Mathematical Control Theory and Finance

Author

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  • Francesco Menoncin

    (Università di Brescia, Dipartimento di Scienze Economiche)

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.

Suggested Citation

  • Francesco Menoncin, 2008. "An Approximate Solution for Optimal Portfolio in Incomplete Markets," Springer Books, in: Andrey Sarychev & Albert Shiryaev & Manuel Guerra & Maria do Rosário Grossinho (ed.), Mathematical Control Theory and Finance, pages 293-310, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-69532-5_16
    DOI: 10.1007/978-3-540-69532-5_16
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