A Portfolio Decomposition Formula

Simple item page
dc.creatorPirvu, Traian A
dc.creatorHaussmann, Ulrich G
dc.date2007-02-24
dc.date.accessioned2026-07-07T12:07:22Z
dc.date.available2026-07-07T12:07:22Z
dc.descriptionThis paper derives a portfolio decomposition formula when the agent maximizes utility of her wealth at some finite planning horizon. The financial market is complete and consists of multiple risky assets (stocks) plus a risk free asset. The stocks are modelled as exponential Brownian motions with drift and volatility being Ito processes. The optimal portfolio has two components: a myopic component and a hedging one. We show that the myopic component is robust with respect to stopping times. We employ the Clark-Haussmann formula to derive portfolio s hedging component.
dc.identifierhttps://arxiv.org/abs/math/0702726
dc.identifierhttp://arxiv.org/abs/math/0702726
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208944
dc.subjectProbability
dc.subjectOptimization and Control
dc.subjectPortfolio Management
dc.titleA Portfolio Decomposition Formula
dc.typetext

Files

Collections

arXiv