An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models

DOI10.1007/978-3-319-02069-3_5zbMath1418.91455arXiv1012.3136OpenAlexW1546537214MaRDI QIDQ4561928

Suzanne Cawston, Lioudmila Vostrikova

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.3136

zbMATH Keywords

optimal portfolioexponential Lévy models\(f\)-divergence

Mathematics Subject Classification ID

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

Related Items (3)

On the minimal entropy martingale measure for Lévy processes ⋮ Expected Utility Maximization for Exponential Lévy Models with Option and Information Processes ⋮ Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities

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