Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/85171
Authors: 
Leitner, Johannes
Year of Publication: 
2000
Series/Report no.: 
CoFE Discussion Paper 00/34
Abstract: 
In an arbitrage free incomplete market we consider the problem of maximizing terminal isoelastic utility. The relationship between the optimal portfolio, the optimal martingale measure in the dual problem and the optimal value function of the problem is described by an BSDE. For a totally unhedgeable price for instan- taneous risk, isoelastic utility of terminal wealth can be maximized using a portfolio consisting of the locally risk-free bond and a lo- cally efficient fund only. In a markovian market model we find a non-linear PDE for the logarithm of the value function. From the solution we can construct the optimal portfolio and the solution of the dual problem.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
349.79 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.