Optimal portfolios for exponential Lévy processes

被引：17

作者：

Jan Kallsen

机构：

[1] Institut für Mathematische Stochastik,

[2] Universität Freiburg,undefined

[3] Eckerstraße 1,undefined

[4] D-79104 Freiburg i. Br.,undefined

[5] Germany,undefined

[6] (e-mail: kallsen@stochastik.uni-freiburg.de),undefined

来源：

Mathematical Methods of Operations Research | 2000年 / 51卷

关键词：

Key words: portfolio optimization, exponential Lévy processes, HARA utility, martingale method;

D O I：

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学科分类号：

摘要：

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 different for exponential utility.

引用

页码：357 / 374

页数：17