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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Goll, T.; Kallsen, J. 
Nicht-TUM Koautoren:
ja 
Kooperation:
national 
Titel:
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 
Zeitschriftentitel:
Stochastic Processes and their Applications 
Jahr:
2000 
Band / Volume:
89 
Heft / Issue:
Seitenangaben Beitrag:
31-48 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein