Utility maximization in models with conditionally independent increments
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Publication:614120
DOI10.1214/10-AAP680zbMath1202.91299MaRDI QIDQ614120
Jan Kallsen, Johannes Muhle-Karbe
Publication date: 27 December 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Utility theory (91B16) Portfolio theory (91G10)
Related Items (7)
Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ A note on optimal consumption and investment in a geometric Ornstein–Uhlenbeck market ⋮ Utility maximization, risk aversion, and stochastic dominance ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ BSDEs driven by time-changed Lévy noises and optimal control ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ Structure-preserving equivalent martingale measures for ℋ-SII models
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