Optimal portfolios in Lévy markets under state-dependent bounded utility functions

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

zbMATH Keywords

Lévy process; optimal portfolio; dual variational approach; multiplicative optional decomposition; state-dependent utility function

Mathematics Subject Classification ID

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.)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• A general version of the fundamental theorem of asset pricing
• Optional decompositions under constraints
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Efficient hedging: cost versus shortfall risk
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• [https://portal.mardi4nfdi.de/wiki/Publication:4194221 Espaces de semi martingales et changement de probabilit�]
• Foundations of Modern Probability
• Minimizing Expected Loss of Hedging in Incomplete and Constrained Markets
• A note on log-optimal portfolios in exponential Lévy markets