Optimal investment in a Lévy market
From MaRDI portal
Publication:2494467
DOI10.1007/s00245-005-0846-xzbMath1099.91059OpenAlexW2066454752MaRDI QIDQ2494467
David Nualart, Wim Schoutens, João M. E. Guerra, José Manuel Corcuera
Publication date: 28 June 2006
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-005-0846-x
incomplete marketsLevy processesHARA utilitymartingale measuresPortfolio optimizationreplicating portfolios
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
Optimal investment-consumption and life insurance with capital constraints ⋮ Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach ⋮ Insider models with finite utility in markets with jumps ⋮ Some stability results of optimal investment in a simple Lévy market ⋮ Entry-exit decisions with underlying processes following geometric Lévy processes ⋮ The Value of Insight ⋮ On the Optimal Investment ⋮ APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES
This page was built for publication: Optimal investment in a Lévy market
