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Utility maximization in models with conditionally independent increments

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  • Jan Kallsen
  • Johannes Muhle-Karbe

Abstract

We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process.

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  • Jan Kallsen & Johannes Muhle-Karbe, 2009. "Utility maximization in models with conditionally independent increments," Papers 0911.3608, arXiv.org.
    • Handle: RePEc:arx:papers:0911.3608
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    References listed on IDEAS

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