Remarks on optimal strategies to utility maximizations in continuous time incomplete markets
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- Yoshida Naohiro
- Graduate School of Economics, Hitotsubashi University
説明
<p> In continuous time diffusion models, the optimal strategies to utility maximizations can be obtained by solving a certain partial differential equation. In this paper, we give another proof of this fact in an incomplete market without using the well-known fictitious security arguments. Since we avoid using the fictitious security arguments, we can apply our method to the situations when the markets cannot be completed. We provide an example of such cases where the asset price follows a simple jump process with unpredictable jump sizes and see that we can derive the equation which determines the optimal strategy as usual. </p>
収録刊行物
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- JSIAM Letters
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JSIAM Letters 9 (0), 53-56, 2017
一般社団法人 日本応用数理学会
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詳細情報 詳細情報について
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- CRID
- 1390282680276132736
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- NII論文ID
- 130005775750
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- ISSN
- 18830617
- 18830609
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- 本文言語コード
- en
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- データソース種別
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- JaLC
- Crossref
- CiNii Articles
- KAKEN
- OpenAIRE
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- 抄録ライセンスフラグ
- 使用不可
