Power utility maximization in an exponential Lévy model without a risk-free asset (Q2577655)
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English | Power utility maximization in an exponential Lévy model without a risk-free asset |
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Power utility maximization in an exponential Lévy model without a risk-free asset (English)
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5 January 2006
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The authors investigate utility maximization problems in a market where there is no risk-free asset and the asset price processes are governed by general exponential Lévy processes. It is supposed that the preference of the investor for the terminal wealth is modelled by the power utility function. With the help of Girsanov's theorem, explicit solutions are given for power utility of undiscounted terminal wealth. The solutions are presented in terms of the Lévy-Khinchin triplet.
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Girsanov's theorem
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