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

DOI10.1007/S10690-006-9019-4MaRDI QIDQ853860zbMATH OpenOpenAlexFDO

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

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)

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• On the rate of convergence of discrete-time contingent claims.
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Cited in

(12)

• Utility maximization for L{\'e}vy switching models
• 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
• The minimal entropy martingale measures for exponential additive processes
• An equilibrium model for spot and forward prices of commodities
• \(f\)-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

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