From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (Q853860)
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scientific article; zbMATH DE number 5073757
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| English | From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes |
scientific article; zbMATH DE number 5073757 |
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From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes (English)
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17 November 2006
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exponential utility
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geometric Lévy process
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(local) martingale measure
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separating measure
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minimal entropy martingale measure
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optimal strategy
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0.92806804
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0.88905466
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0.88892823
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0.88186014
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0.8772507
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0.8741753
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