Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers (Q1935938)
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| Language | Label | Description | Also known as |
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| English | Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers |
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Power utility maximization in exponential Lévy models: Convergence of discrete-time to continuous-time maximizers (English)
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20 February 2013
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The author defines a discrete-time expotential Lévy model as the restriction of given continuous-time expotential Lévy model to discrete time. The agent is allowed to invest in each period the fraction of current wealth in the stock. In this paper, some properties of the optimal investor strategy are studied. All results are presented as proved mathematical theorems. Reviewer's remark: In my opinion, all obtained here results have a technical character.
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utility maximization
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power utility
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exponential Lévy process
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discretization
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