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- Titel:
Optimal Portfolios for Logarithmic Utility
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Goll, T.; Kallsen, J.
- Nicht-TUM Koautoren:
- ja
- Kooperation:
- national
- 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:
- 1
- Seitenangaben Beitrag:
- 31-48
- Sprache:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- commissioned:
- not commissioned
- Professional Journal:
- Nein
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