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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kallsen, J. 
Nicht-TUM Koautoren:
nein 
Kooperation:
Titel:
Optimal Portfolios for Exponential Lévy Processes 
Abstract:
We consider the problem of maximizing the expected utility from consumption or terminal wealth in a market where logarithmic securities prices follow a Lévy process. More specifically, we give explicit solutions for power, logarithmic and exponential utility in terms of the Lévy-Khintchine triplet. In the first two cases, a constant fraction of current wealth should be invested in each of the securities, as is well-known for related discrete-time models and for Brownian motion. The situation is...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Mathematical Methods of Operations Research 
Jahr:
2000 
Band / Volume:
51 
Heft / Issue:
Seitenangaben Beitrag:
357-374 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein