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.
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- banded matrices
- hedging with delay
- utility maximization