Logarithmic utility maximization in an exponential Lévy model

M. Yu. Ivanov

Vestnik Moskovskogo universiteta. Matematika, mehanika, no. 6 (2014), pp. 16-24

Résumé

The problems of logarithmic utility maximization and finding the numéraire portfolio in an exponential Lévy model are studied in the paper in terms of Lévy–Khinchin triplet.

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