Retirement Wealth under Fixed Limits: The Optimal Strategy for Exponential Utility

2017/12/01 by Lena Schutte, Schutte, Lena
Economics, Econometrics and Finance · #FOS: Economics and business #Portfolio Management (q-fin.PM) #q-fin.PM

paper · pdf · doi:10.48550/arxiv.1712.00463

Masters Thesis

arxiv created 2017/12/01 · arxiv updated 2017/12/05

Abstract

For an exponential utility maximizing investment strategy in a Black-Scholes Setting, fixed upper and lower constraints are introduced on the terminal wealth. This is equivalent to combining the optimal strategy with options. The resulting distribution is investigated in terms of change of quantiles. The theory is illustrated with quantitative examples, including an assessment of the effects of restricting the strategy to positive investments.

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