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• W2008258804 abstract "We examine the optimal portfolio selection problem of a single agent who receives an unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but construct a recursive computational algorithm which approximates the optimal one. We present an intelligent initial portfolio which requires, numerically, about 25% fewer corrective steps in the algorithm than a random initial portfolio, and outperforms the portfolio which ignores the unhedgeable risk of the endowment." @default.
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• W2008258804 date "2002-01-01" @default.
• W2008258804 modified "2023-09-27" @default.
• W2008258804 title "Modeling the Optimal Strategy in an Incomplete Market" @default.
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• W2008258804 doi "https://doi.org/10.2139/ssrn.296223" @default.
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