A note on the existence of the power investor's optimizer

DOI10.1007/s00780-009-0111-2zbMath1303.91198OpenAlexW2112646198MaRDI QIDQ483705

Yong-Cai Geng, Sumit K. Garg

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/A_note_on_the_existence_of_the_power_investor_s_optimizer/6476621

zbMATH Keywords

incomplete marketsconvex dualitychange of measureCRRA preferences

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Duality theory (optimization) (49N15)

Related Items (3)

On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model ⋮ Forward-backward systems for expected utility maximization ⋮ An expansion in the model space in the context of utility maximization

Cites Work

• Unnamed Item
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon

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