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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:
- 1
- 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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