Pasin, Laura; Vargiolu, Tiziano - In: Economic Notes 39 (2010) s1, pp. 65-90
In this paper, we analyse a market where the risky assets follow exponential additive processes, which can be viewed as time-inhomogeneous generalizations of geometric Levy processes. In this market we show that, when an investor wants to maximize a CRRA utility function of his/her terminal...