Departmental Bulletin Paper 情報・推定・制約が対数型期待効用最大化に与える影響

朝倉, 悠也

562015-03-24 , 法政大学大学院理工学・工学研究科
In this paper, we consider effects of information, estimations and constraints on portfolio optimization problems in mathematical nance. In particular, a portfolio optimization problem of an investor who wants to maximize an expected utility of the investor's 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 a parameter and constraints of strategies, and study their effects to an expected utility theoretically and numerically. We adopt the logarithmic utility function as a utility function showing a risk aversion investor.

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