Logarithmic utility maximization in an exponential Lévy model

DOI10.3103/S0027132214060035MaRDI QIDQ2356496zbMATH OpenFDO

Authors M. Yu. Ivanov

Publication date 30 July 2015

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/S0027132214060035

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Cites work

• A complete explicit solution to the log-optimal portfolio problem.
• A note on log-optimal portfolios in exponential Lévy markets
• Calcul stochastique et problèmes de martingales
• Existence and uniqueness of martingale measures in exponential Lévy models
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 1897411 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Minimal entropy preserves the Lévy property: how and why
• NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
• On the range of options prices
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Optimal portfolios for exponential Lévy processes.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The numeraire portfolio for unbounded semimartingale
• The numéraire portfolio in semimartingale financial models

Cited in

(5)

• scientific article; zbMATH DE number 5856148 (Why is no real title available?)
• On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model
• scientific article; zbMATH DE number 66189 (Why is no real title available?)
• scientific article; zbMATH DE number 2046394 (Why is no real title available?)
• Logarithmic utility maximization for insiders in progressively enlarged filtrations

This page was built for publication: Logarithmic utility maximization in an exponential Lévy model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2356496)