Power Utility Maximization in an Exponential Lévy Model Without a Risk-free Asset
Author: Zhou, Qing
Source: Acta Mathematicae Applicatae Sinica, Volume 21, Number 1, February 2005 , pp. 145-152(8)
Abstract:We consider the problem of maximizing the expected power utility from terminal wealth in a market where logarithmic securities prices follow a Lévy process. By Girsanov’s theorem, we give explicit solutions for power utility of undiscounted terminal wealth in terms of the Lévy-Khintchine triplet.
Document Type: Research Article
Affiliations: Email: firstname.lastname@example.org
Publication date: February 1, 2005