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Titel:

A Utility Maximization Approach to Hedging in Incomplete Markets

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Kallsen, J.
Nicht-TUM Koautoren:
nein
Kooperation:
-
Abstract:
In this paper we introduce the notion of portfolio optimization by maximizing expected local utility. This concept is related to maximization of expected utility of consumption but, contrary to this common approach, the discounted financial gains are consumed immediately. In a general continuous-time market optimal portfolios are obtained by pointwise solution of equations involving the semimartingale characteristics of the underlying securities price process. The new concept is applied to hedgi...     »
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Mathematical Methods of Operations Research
Jahr:
1999
Band / Volume:
50
Heft / Issue:
2
Seitenangaben Beitrag:
321-338
Sprache:
en
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Ja
commissioned:
not commissioned
Professional Journal:
Nein
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