Portfolio Optimization with the Growth Model

Title	Portfolio Optimization with the Growth Model
Publication Type	Conference Paper
Year of Publication	2004
Authors	Jimbo HC, Ouentcheu A, Bozeman RE
Editor	Takahashi W, Tanaka T
Conference Name	Nonlinear analysis and convex analysis (NACA2003)
Publisher	Yokohama Publisher, Japan
Conference Location	Tokyo
ISBN Number	4-946552-15-4
Abstract	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.
URL	http://www.ybook.co.jp/pub/ISBN4-946552-15-4.htm
MathRev	MR2144036

Department of Mathematics