On convergence to the exponential utility problem
We provide a method for solving dynamic expected utility maximization problems with possibly not everywhere increasing utility functions in an Lp-semimartingale setting. In particular, we solve the problem for utility functions of type (exponential problem) and (2m-th problem). The convergence of the 2m-th problems to the exponential one is proved. Using this result an explicit portfolio for the exponential problem is derived.
Year of publication: |
2007
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Authors: | Kohlmann, Michael ; Niethammer, Christina R. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 12, p. 1813-1834
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Publisher: |
Elsevier |
Keywords: | Convex analysis Stochastic duality Exponential utility function Minimal entropy martingale measure Convergence of q-optimal martingale measures Wealth and portfolios |
Saved in:
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