On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model

DOI10.1137/S0040585X97T987375zbMath1331.91167OpenAlexW2191957551MaRDI QIDQ3462260

M. Yu. Ivanov

Publication date: 5 January 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t987375

zbMATH Keywords

logarithmic utilitypower utilityexponential Lévy model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10)

Cites Work

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• POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
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