article

Martino Grasselli


Finance Group (2005) : Sup-Convolution of HARA utility functions in the affine term structure




Sup-Convolution of HARA utility functions in the affine term structure

Martino Grasselli




article

Decisions in Economics and Finance

In the financial literature, the problem of maximizing the expected utility of the terminal wealth has been investigated extensively (for a survey, see, e.g., Karatzas and Shreve (1998), p. 153, and references therein) by using different approaches. In this paper, we extend the existing literature in two directions. First, we let the utility function U(.) of the financial agent (who is a price taker) be implicitly defined through I(.)=(U ' (.))–1, which is assumed to be additively separable, i.e., I(.)=? k=1 N I k (.). Second, we solve the investment problem in the general affine term structure model proposed by Duffie and Kan (1996) in which the functions I k (.)

To cite this publication :


Giorgia Callegaro, Lucio Fiorin, Martino Grasselli: Quantized calibration in local volatility models. Dans: Risk Magazine, 9 , p. 62-67, 2015, ISSN: 0952-8776.





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