期刊名称：Discussion Paper / Département des Sciences Économiques de l'Université Catholique de Louvain
印刷版ISSN：1379-244X
出版年度：2002
卷号：1
出版社：Université catholique de Louvain
摘要：In an incomplete financial market where an investor maximizes the expected HARA utility of his terminal real wealth, we present an algebraic approximated solution for the optimal portfolio composition. We take into account : (i) a (finite) set of assets, (ii) a (finite) set of state variables and (iii) a consumption price process, all of them described by general Ito processes; Finally, we supply an easy test for checking the goodness of the approximated result.
关键词：Incomplete Market; Inflation Risk; Hamilton-Jacobi-Bellman equation; HARA utility function
