POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
From MaRDI portal
Publication:4919616
DOI10.1111/j.1467-9965.2011.00480.xzbMath1272.91102arXiv0912.1885OpenAlexW3124979696MaRDI QIDQ4919616
Publication date: 14 May 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0912.1885
Related Items (11)
On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model ⋮ Simple explicit formula for near-optimal stochastic lifestyling ⋮ The opportunity process for optimal consumption and investment with power utility ⋮ Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence ⋮ Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ Optimal investment and risk control for an insurer with stochastic factor ⋮ ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES ⋮ Asymptotic power utility-based pricing and hedging ⋮ The Value of Insight ⋮ Unnamed Item
Cites Work
- Unnamed Item
- On \(q\)-optimal martingale measures in exponential Lévy models
- Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure
- Martingales and stochastic integrals in the theory of continuous trading
- Optimal portfolios for exponential Lévy processes.
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Optimal consumption from investment and random endowment in incomplete semimartingale markets.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The opportunity process for optimal consumption and investment with power utility
- The Bellman equation for power utility maximization with semimartingales
- The numéraire portfolio in semimartingale financial models
- Minimal \(f^q\)-Martingale measures for exponential Lévy processes
- Convergence in the Semimartingale Topology and Constrained Portfolios
- NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
- Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
This page was built for publication: POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
