From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes

DOI10.1007/S10690-006-9019-4zbMATH Open1154.91442OpenAlexW2071807753MaRDI QIDQ853860FDOQ853860

Authors: Tsukasa Fujiwara 

Publication date: 17 November 2006

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-006-9019-4

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zbMATH Keywords

exponential utilityoptimal strategyseparating measureminimal entropy martingale measure(local) martingale measuregeometric Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Measures of information, entropy (94A17) Utility theory (91B16) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Stochastic integral equations (60H20)

Cites Work

• Financial Modelling with Jump Processes
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• Hedging of contingent claims and maximum price
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• A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
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• Optimal investment in incomplete markets when wealth may become negative.
• Exponential Hedging and Entropic Penalties
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• The minimal entropy martingale measures for geometric Lévy processes
• On the Existence of Minimax Martingale Measures
• Minimal entropy preserves the Lévy property: how and why
• Minimax and minimal distance martingale measures and their relationship to portfolio optimization
• A super-martingale property of the optimal portfolio process

Cited In (12)

• An \(f\)-divergence approach for optimal portfolios in exponential Lévy models
• Power utility maximization in constrained exponential Lévy models
• On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
• On Convergence to the Exponential Utility Problem with Jumps
• An equilibrium model for spot and forward prices of commodities
• The minimal entropy martingale measures for exponential additive processes
• \(f\)-divergence minimal equivalent martingale measures and optimal portfolios for exponential Lévy models with a change-point
• On the price of risk under a regime switching CGMY process
• The minimal entropy martingale measures for geometric Lévy processes
• Power utility maximization in an exponential Lévy model without a risk-free asset
• Utility indifference hedging with exponential additive processes
• Utility maximization for L{\'e}vy switching models

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