Optimal investment in a Lévy market

DOI10.1007/S00245-005-0846-XMaRDI QIDQ2494467zbMATH OpenOpenAlexFDO

Authors José Manuel Corcuera, João M. E. Guerra, David Nualart, Wim Schoutens

Publication date 28 June 2006

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-005-0846-x

zbMATH Keywords

HARA utilityincomplete marketsLevy processesmartingale measuresPortfolio optimizationreplicating portfolios

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(21)

• Optimal portfolios for exponential Lévy processes.
• Completion of a Lévy market by power-jump assets
• Investments with declining cost following a Lévy process
• Using the Lévy sections to reduce risks in the buying strategies and asset sales that value in time
• Optimal investment problems with marked point processes
• Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
• The value of insight
• A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
• A note on the suboptimality of path-dependent pay-offs in Lévy markets
• Pricing and completion in a Lévy market model with Teugel martingales
• On the optimal investment
• Optimal investment-consumption and life insurance with capital constraints
• Entry-exit decisions with underlying processes following geometric Lévy processes
• Approximate hedging of options under jump-diffusion processes
• Optimal portfolio application with double-uniform jump model
• Optimal investment in derivative securities
• Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach
• Insider models with finite utility in markets with jumps
• Some stability results of optimal investment in an Itô-Markov additive market
• Some stability results of optimal investment in a simple Lévy market
• Optimal portfolios in Lévy markets under state-dependent bounded utility functions

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