Abstract
The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in mathematical finance, we also consider an investor who is informed about the risky asset's price changes with a delay D. Our method of solution is based on the theory developed in [W. Barrett and P. Feinsilver, Linear Algebra Appl., 41 (1981), pp. 111-130] and guessing the optimal portfolio.
| Original language | English |
|---|---|
| Article number | 3 |
| Pages (from-to) | SC31-SC41 |
| Number of pages | 11 |
| Journal | SIAM Journal on Financial Mathematics |
| Volume | 14 |
| Issue number | 3 |
| DOIs | |
| State | Published - 2023 |
Bibliographical note
Publisher Copyright:© 2023 Society for Industrial and Applied Mathematics.
Keywords
- banded matrices
- hedging with delay
- utility maximization