Publication at Faculty of Mathematics and Physics |
2010
Abstract
We consider a non-consuming agent investing in a stock and a money market interested in the portfolio market price far in the future, who is more risk averse than the one with the logarithmic utility. We show that the derived strategy is almost optimal at certain stopping times under a HARA utility function bounded from above.
We also show that there exists no similarly constructed trading strategy with strictly higher asymptotic result more than about the admitted error. Such a comparison is given also at the stopping times associated with the compared strategy.