@article{TVP_2014_59_4_a7,
author = {M. Yu. Ivanov},
title = {On the connection between the power and logarithmic utility maximization},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {781--790},
year = {2014},
volume = {59},
number = {4},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_2014_59_4_a7/}
}
M. Yu. Ivanov. On the connection between the power and logarithmic utility maximization. Teoriâ veroâtnostej i ee primeneniâ, Tome 59 (2014) no. 4, pp. 781-790. http://geodesic.mathdoc.fr/item/TVP_2014_59_4_a7/
[1] Delbaen F., Schachermayer W., “The fundamental theorem of asset pricing for unbounded stochastic processes”, Math. Ann., 312:2 (1998), 215–250 | DOI
[2] Esche F., Schweizer M., “Minimal entropy preserves the Lévy property: how and why”, Stochastic Process. Appl., 115:2 (2005), 299–327 | DOI
[3] Goll T., Kallsen J., “A complete explicit solution to the log-optimal portfolio problem”, Ann. Appl. Probab., 13:2 (2003), 774–799 | DOI
[4] Goll T., Rüschendorf L., “Minimax and minimal distance martingale measures and their relationship to portfolio optimization”, Finance Stoch., 5:4 (2001), 557–581 | DOI
[5] Ivanov M. Yu., “Maksimizatsiya logarifmicheskoi poleznosti v eksponentsialnoi modeli Levi”, Vestn. Mosk. un-ta, 2014, no. 6, 16–24
[6] Jacod J., Calcul Stochastique et Problèmes de Martingales, Springer-Verlag, Berlin–Heidelberg–New York, 1979, 539 pp.
[7] Jacod J., Shiryaev A. N., Limit Theorems for Stochastic Processes, Springer, Berlin, 2003, 661 pp.
[8] Jeanblanc M., Klöppel S., Miyahara Y., “Minimal $f^q$-martingale measures for exponential Lévy processes”, Ann. Appl. Probab., 17:5–6 (2007), 1615–1638 | DOI
[9] Kallsen J., “Optimal portfolios for exponential Lévy processes”, Math. Methods Oper. Res., 51 (2000), 357–374 | DOI
[10] Karatzas I., Lehoczky J. P., Shreve S. E., “Optimal portfolio and consumption decisions for a “small investor” on a finite horizon”, SIAM J. Control Optim., 25 (1987), 1557–1586 | DOI
[11] Kardaras C., “No-free-lunch equivalences for exponential Lévy models under convex constraints on investment”, Math. Finance, 19:2 (2009), 161–187 | DOI
[12] Kramkov D., Schachermayer W., “The asymptotic elasticity of utility functions and optimal investment in incomplete markets”, Ann. Appl. Probab., 9:3 (1999), 904–950 | DOI
[13] Larsen K., “A note on the existence of the power investor’s optimizer”, Finance Stoch., 15:1 (2011), 183–190 | DOI
[14] Nutz M., “Power utility maximization in constrained exponential Lévy models”, Math. Finance, 22:4 (2012), 690–709 | DOI
[15] Sato K.-I., Lévy Processes and Infinitely Divisible Distributions, Cambridge Univ. Press, Cambridge, 2003, 486 pp.
[16] Takaoka K., Schweizer M., “A note on the condition of no unbounded profit with bounded risk”, Finance Stoch., 18:3 (2014), 393–405 | DOI