ScholarWorks@숙명여자대학교

초록

. We investigate the impact of the historical performance (delay) of a risky asset on the investment decisions of an investor in the context of terminal utility maximization. By assuming either a power-type or an exponential-type utility function, we derive a closed-form solution for the value function under mild assumptions. Our findings show that, in terms of the optimal portfolio ratio, an investor with power-type utility and delays tends to invest more in the risky asset compared to a CRRA investor without delays (as per Merton's model). Moreover, in terms of the optimal investment amount, an investor with exponential-type utility and delays tends to invest less in the risky asset compared to a CARA investor without delays (as per Merton's model). We also provide numerical simulation results to examine the influence of various key parameters on the wealth process and the optimal investment strategy.

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