On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model (Q3462260): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Set OpenAlex properties.
 
(3 intermediate revisions by 3 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: The fundamental theorem of asset pricing for unbounded stochastic processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal entropy preserves the Lévy property: how and why / rank
 
Normal rank
Property / cites work
 
Property / cites work: A complete explicit solution to the log-optimal portfolio problem. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimax and minimal distance martingale measures and their relationship to portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Logarithmic utility maximization in an exponential Lévy model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calcul stochastique et problèmes de martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4778955 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal \(f^q\)-Martingale measures for exponential Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolios for exponential Lévy processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT / rank
 
Normal rank
Property / cites work
 
Property / cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on the existence of the power investor's optimizer / rank
 
Normal rank
Property / cites work
 
Property / cites work: POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: A note on the condition of no unbounded profit with bounded risk / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1137/s0040585x97t987375 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2191957551 / rank
 
Normal rank
links / mardi / namelinks / mardi / name
 

Latest revision as of 09:03, 30 July 2024

scientific article
Language Label Description Also known as
English
On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model
scientific article

    Statements

    On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model (English)
    0 references
    0 references
    5 January 2016
    0 references
    power utility
    0 references
    logarithmic utility
    0 references
    exponential Lévy model
    0 references

    Identifiers