Jakša Cvitanic, Semyon Malamud: We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general diffusion process and the market consists of one risky asset and a risk-free asset.
Edhec Business School
|Type :||Working paper|
|Date :||le 04/10/2010|
|Extra information :||For more information, please contact EDHEC Research and Development Department [ email@example.com ]|
|Research Cluster :||Finance|