Optimal portfolios for exponential Lévy processes. (Q1403170): Difference between revisions
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Revision as of 03:14, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolios for exponential Lévy processes. |
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Optimal portfolios for exponential Lévy processes. (English)
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16 October 2003
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This paper is mainly concerned with solving an expected utility maximization problems using the duality theory and martingale approach. The author investigates the optimization problem under the assumption that the log-prices follow a Lévy process. Explicit solutions are given in the case of logarithmic, power and exponential utility functions in terms of the Lévy-Khintchine triplet.
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portfolio optimization
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exponential Lévy processes, HARA utility
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martingale method
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