Numerical Comparisons of Expected Log-Utility Maximization Problem with a Factor Model under Several Situations

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In this paper, we consider effects of information, estimations and constraints on a portfolio optimization problem in mathematical finance. In particular, a portfolio optimization problem of investors who want to maximize their expected utility of their terminal wealth is considered. As our risky security model we adopt a factor model in which the growth rate depends on an exogenous factor. We assume several strategies whose differences come from information of markets, estimations of the factor and constraints of strategies, and we numerically investigate their effects on the expected utility. The logarithmic utility function as the utility function showing risk aversion investors is used in their paper.

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