Optimal portfolios for logarithmic utility.

DOI10.1016/S0304-4149(00)00011-9zbMath1048.91064OpenAlexW2030354114MaRDI QIDQ1877521

Jan Kallsen, Thomas Goll

Publication date: 7 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(00)00011-9

zbMATH Keywords

martingale methodsemimartingale characteristics

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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