Learning Effects with a Discrete : Time Approximate Model

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概要

• 論文の詳細を見る

• In Tamba (2007) I analyzed temporal learning effects of the asset allocation decision of an investor, who has a long investment horizon. The investor has an uncertainty about the mean return of the risky stock (the state variable). In this paper, I discuss the result derived in Tamba (2007) in detail. I verify propriety of a hedge portfolio in the uncertainty. I prove that the partial differential of the investor's expected utility of a bequest in terms of a current assessment of the coefficient is positive in a discrete time approximate model.

• 名古屋商科大学の論文

著者

• 丹波 靖博

  名古屋商科大学会計ファイナンス研究科

関連論文

• Learning Effects with a Discrete : Time Approximate Model
• Dynamic Asset Allocation under Uncertainty with Continuous Time Model
• Exercise Strategies for the Bermudan Swaption
• Pricing the Bermudan Swaption with the Efficient Calibration

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