MODELING THE OPTIMAL STRATEGY IN AN INCOMPLETE MARKET
作者： Jussi Keppo , Xu Meng , Michael G. Sullivan
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摘要: We examine the optimal portfolio selection problem for a single agent who receives unhedgeable endowment. The wishes to optimize his/her log-utility derived from terminal wealth. do not solve this analytically but rigorously prove that there exists unique strategy. present recursive computational algorithm which produces sequence of portfolios converging one. an ”intelligent” initial requires, numerically, about 25% fewer corrective steps in than random portfolio, and outperforms ignores risk
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