• Economics
  • Published 2011

A Closed Form Solution for Optimal Dynamic Portfolio Problems

@inproceedings{Zhang2011ACF,
  title={A Closed Form Solution for Optimal Dynamic Portfolio Problems},
  author={Xiangyu Zhang and Shaoyong Lai and Meng Wu and Yue Zhong},
  year={2011}
}
Studying the optimal dynamic portfolio problems and analyzing a Bayesian investor, who predicts the future with the past information, are developed. Adopting the martingale approach and Cameron-Martin theorem, the maximization of expected utility is converted to a system of differential equations. For the case of a given utility function, a closed-form solution of the terminal wealth is found. Mathematics Subject Classification:65D07, 68U20,49K35 

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