<?xml version="1.0" encoding="UTF-8"?><xml><records><record><source-app name="Biblio" version="6.x">Drupal-Biblio</source-app><ref-type>47</ref-type><contributors><authors><author><style face="normal" font="default" size="100%">Jimbo, Henri Claver</style></author><author><style face="normal" font="default" size="100%">Ouentcheu, A</style></author><author><style face="normal" font="default" size="100%">Bozeman, R.E.</style></author></authors><secondary-authors><author><style face="normal" font="default" size="100%">Takahashi, W.</style></author><author><style face="normal" font="default" size="100%">Tanaka, T.</style></author></secondary-authors></contributors><titles><title><style face="normal" font="default" size="100%">Portfolio Optimization with the Growth Model</style></title><secondary-title><style face="normal" font="default" size="100%">Nonlinear analysis and convex analysis (NACA2003)</style></secondary-title></titles><dates><year><style  face="normal" font="default" size="100%">2004</style></year></dates><urls><web-urls><url><style face="normal" font="default" size="100%">http://www.ybook.co.jp/pub/ISBN4-946552-15-4.htm</style></url></web-urls></urls><publisher><style face="normal" font="default" size="100%">Yokohama Publisher, Japan</style></publisher><pub-location><style face="normal" font="default" size="100%">Tokyo</style></pub-location><pages><style face="normal" font="default" size="100%">131-141</style></pages><isbn><style face="normal" font="default" size="100%">4-946552-15-4</style></isbn><language><style face="normal" font="default" size="100%">eng</style></language><abstract><style face="normal" font="default" size="100%">We investigate a portfolio optimization problem involving the Growth Model (GM). Following
the framework of Levy (1996), Brock and Hommes (1998), a model with transaction cost and
more flexible utility function is discussed in this paper. We examine the optimal allocation of
an investor whose objective is to minimize the expected utility function; the investor adjusts his
portfolio through time in response to the changing variance and other market conditions.
Key words and phrases. growth model; utility function; optimal allocation; Levy process; intertemporal
optimization.



</style></abstract><custom2><style face="normal" font="default" size="100%">MR2144036</style></custom2></record></records></xml>