Simple strategies in exponential utility maximization
In his short note, the author considers the problem of the maximization of the exponential utiliy of a portfolio. For locally bounded price processes which admit an equivalent local martingale measure with finite entropy, the following result is shown: the optimal value of the exponential utility can be approximated by the utilities of a sequence of uniformly bounded portfolios with simple bounded integrands. The note provides a ramification of the main result of \textit{Y. M. Kabanov} and the author [Math. Finance 12, 125--134 (2002; Zbl 1073.91034)]. For the entire collection see [Zbl 1003.00010].
- Exponential utility maximization under partial information
- Equilibrium strategies for alpha-maxmin expected utility maximization
- Logarithmic utility maximization in an exponential Lévy model
- On convergence to the exponential utility problem
- Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework
- A simplified approach to subjective expected utility
- Strategy-proof probabilistic rules for expected utility maximizers
- Utility Maximization Under Bounded Expected Loss
- On the optimality of the exponential mechanism
- Convergence of utility functions and convergence of optimal strategies
- On convergence to the exponential utility problem
- Multiplicative approximation of wealth processes involving no-short-sales strategies via simple trading
- On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
- A note on admissibility when the credit line is infinite
- On the semimartingale property of discounted asset-price processes
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