Optimal portfolios in Lévy markets under state-dependent bounded utility functions

DOI10.1155/2010/236587zbMath1194.91174OpenAlexW2051456900WikidataQ58651962 ScholiaQ58651962MaRDI QIDQ965867

José E. Figueroa-López, Jin Ma

Publication date: 26 April 2010

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/230684

zbMATH Keywords

Lévy processoptimal portfoliodual variational approachmultiplicative optional decompositionstate-dependent utility function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30)

Cites Work

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