Some solvable portfolio problems with quadratic and collective objectives

Dato: 23. marts 2010

Skrevet af: Esben Masotti Kryger (Laboratory of Actuarial Mathematics, Københavns Universitet) & Mogens Steffensen (Laboratory of Actuarial Mathematics, Københavns Universitet)

Udgivet i: Social Science Research Network (SSRN)

Abstract (på engelsk): 

We present a verification result for a general class of portfolio problems, where the standard dynamic programming principle does not hold. Explicit solutions to a series of cases are provided. They include dynamic mean-standard deviation, endogenous habit formation for quadratic utility, and group utility. The latter is defined by adding up the certainty equivalents of the group members, and the problem is solved for exponential and power utility.