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Document type:
Zeitschriftenaufsatz 
Author(s):
Goll, T.; Kallsen, J. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
Optimal Portfolios for Logarithmic Utility 
Abstract:
We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process. 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Stochastic Processes and their Applications 
Year:
2000 
Journal volume:
89 
Journal issue:
Pages contribution:
31-48 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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