Optimal portfolios in Lévy markets under state-dependent bounded utility functions
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Publication:965867
DOI10.1155/2010/236587zbMath1194.91174WikidataQ58651962 ScholiaQ58651962MaRDI QIDQ965867
José E. Figueroa-López, Jin Ma
Publication date: 26 April 2010
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/230684
Lévy process; optimal portfolio; dual variational approach; multiplicative optional decomposition; state-dependent utility function
60G51: Processes with independent increments; Lévy processes
91G10: Portfolio theory
49K30: Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.)
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