Exponential Utility Maximization in a Discrete Time Gaussian Framework
Exponential Utility Maximization in a Discrete Time Gaussian Framework ArXiv ID: 2305.18136 “View on arXiv” Authors: Unknown Abstract The aim of this short note is to present a solution to the discrete time exponential utility maximization problem in a case where the underlying asset has a multivariate normal distribution. In addition to the usual setting considered in Mathematical Finance, we also consider an investor who is informed about the risky asset’s price changes with a delay. Our method of solution is based on the theory developed in [“4”] and guessing the optimal portfolio. ...