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 \(D\) . Our method of solution is based on the theory developed in [W. Barrett and P. Feinsilver, Linear Algebra Appl., 41 (1981), pp. 111–130] and guessing the optimal portfolio.

Keywords

  1. utility maximization
  2. hedging with delay
  3. banded matrices

MSC codes

  1. 91B16
  2. 91G10

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Acknowledgment.

We thank the anonymous referees, whose comments improved the quality of the paper.

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Information & Authors

Information

Published In

cover image SIAM Journal on Financial Mathematics
SIAM Journal on Financial Mathematics
Pages: SC31 - SC41
ISSN (online): 1945-497X

History

Submitted: 30 May 2023
Accepted: 10 July 2023
Published online: 5 September 2023

Keywords

  1. utility maximization
  2. hedging with delay
  3. banded matrices

MSC codes

  1. 91B16
  2. 91G10

Authors

Affiliations

Yan Dolinsky Contact the author
Department of Statistics, Hebrew University, Jerusalem, Israel.
Department of Statistics, Hebrew University, Jerusalem, Israel.

Funding Information

Funding: The first author is supported in part by GIF grant 1489-304.6/2019 and ISF grant 230/21. The second author is supported in part by ISF grant 2392/22.

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