The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probabili...The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.展开更多
文摘The question of optimal portfolio is that finds the trading strategy satisfying the maximal expected utility function subject to some constraints. There is the optimal trading strategy under the risk neutral probability measure （martingale measure） if and only if there is no-arbitrage opportunity in the market. This paper argues the optimal wealth and the optimal value of expected utility with different utility function.
