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A note on the existence of the power investor’s optimizer

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  • Kasper Larsen

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  • Kasper Larsen, 2011. "A note on the existence of the power investor’s optimizer," Finance and Stochastics, Springer, vol. 15(1), pages 183-190, January.
    • Handle: RePEc:spr:finsto:v:15:y:2011:i:1:p:183-190
    DOI: 10.1007/s00780-009-0111-2
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    References listed on IDEAS

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    1. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
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    Citations

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    Cited by:

    1. Kasper Larsen & Oleksii Mostovyi & Gordan Žitković, 2018. "An expansion in the model space in the context of utility maximization," Finance and Stochastics, Springer, vol. 22(2), pages 297-326, April.
    2. Horst, Ulrich & Hu, Ying & Imkeller, Peter & Réveillac, Anthony & Zhang, Jianing, 2014. "Forward–backward systems for expected utility maximization," Stochastic Processes and their Applications, Elsevier, vol. 124(5), pages 1813-1848.
    3. Wenyuan Wang & Kaixin Yan & Xiang Yu, 2024. "Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors," Papers 2401.14672, arXiv.org.
    4. Kasper Larsen & Oleksii Mostovyi & Gordan v{Z}itkovi'c, 2014. "An expansion in the model space in the context of utility maximization," Papers 1410.0946, arXiv.org, revised Aug 2016.
    5. Wenyuan Wang & Kaixin Yan & Xiang Yu, 2024. "Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints," Papers 2411.13579, arXiv.org.

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    More about this item

    Keywords

    Incomplete markets; Convex duality; Change of measure; CRRA preferences; 91B28; 90C46; 60G44; G11; D81;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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