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Title:

A Note on the Log-Optimal Portfolio Problem

Document type:
Zeitschriftenaufsatz
Author(s):
Goll, T.; Kallsen, J.
Non-TUM Co-author(s):
ja
Cooperation:
national
Abstract:
This note complements Goll and Kallsen (2001) (henceforth GK) in two respects. Firstly, it clarifies the role of self-financing strategies and discounting in the presence of consumption. Moreover, it provides an example which shows that finite expected logarithmic utility does not necessarily imply the existence of an optimal portfolio/consumption pair in the consumption case. Throughout, we use the notation of Jacod and Shiryaev (1987) and Jacod (1979, 1980). The transposed of a vector or matri...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Technical Report 32, Math. Fakultät, Univ. Freiburg i. Br.
Year:
2001
Pages contribution:
-
Language:
en
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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