IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812702852_0009.html
   My bibliography  Save this book chapter

Variational Equality and Portfolio Optimization for Price Processes with Jumps

In: Stochastic Processes And Applications To Mathematical Finance

Author

Listed:
  • Hiroshi Kunita

    (Department of Mathematical Science, Nanzan University, Seirei-cho, Seto, 489-0863, Japan)

Abstract

We study the optimization of the portfolio/consumption which maximizes the expected value of utilities in the case where the price process has jumps, i.e., the solution of a SDE driven by a Lévy process. A duality method is taken. There are infinitely many equivalent martingale measures (or state price densities). Among them we find an optimal state price density, with respect to which the optimal contingent claim is attainable. For the proof, a useful variational equality is introduced.

Suggested Citation

  • Hiroshi Kunita, 2004. "Variational Equality and Portfolio Optimization for Price Processes with Jumps," World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 9, pages 167-194, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812702852_0009
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812702852_0009
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812702852_0009
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812702852_0009. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.