POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS

DOI10.1111/j.1467-9965.2011.00480.xzbMath1272.91102arXiv0912.1885OpenAlexW3124979696MaRDI QIDQ4919616

Marcel Nutz

Publication date: 14 May 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.1885

zbMATH Keywords

dynamic programmingLévy processconstraintspower utility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Utility theory (91B16) Dynamic programming (90C39)

Related Items (11)

On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model ⋮ Simple explicit formula for near-optimal stochastic lifestyling ⋮ The opportunity process for optimal consumption and investment with power utility ⋮ Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence ⋮ Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market ⋮ A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence ⋮ Optimal investment and risk control for an insurer with stochastic factor ⋮ ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES ⋮ Asymptotic power utility-based pricing and hedging ⋮ The Value of Insight ⋮ Unnamed Item

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