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Optimal portfolios for logarithmic utility

Citations

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Cited by:

  1. Masoud Fekri & Babak Barazandeh, 2019. "Designing an Optimal Portfolio for Iran's Stock Market with Genetic Algorithm using Neural Network Prediction of Risk and Return Stocks," Papers 1903.06632, arXiv.org.
  2. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
  3. Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Weng, Chengguo, 2013. "Constant proportion portfolio insurance under a regime switching exponential Lévy process," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 508-521.
  5. Jan Kallsen & Johannes Muhle-Karbe & Richard Vierthauer, 2009. "Asymptotic Power Utility-Based Pricing and Hedging," Papers 0912.3362, arXiv.org, revised Jan 2013.
  6. Jose Corcuera & Joao Guerra, 2010. "Dynamic complex hedging in additive markets," Quantitative Finance, Taylor & Francis Journals, vol. 10(9), pages 1023-1037.
  7. Alev{s} v{C}ern'y & Johannes Ruf, 2020. "Simplified stochastic calculus via semimartingale representations," Papers 2006.11914, arXiv.org, revised Jan 2022.
  8. Ralf Korn & Frank Oertel & Manfred Schäl, 2003. "Notes and Comments: The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 26(2), pages 153-166, November.
  9. Marco Piccirilli & Tiziano Vargiolu, 2018. "Optimal Portfolio in Intraday Electricity Markets Modelled by L\'evy-Ornstein-Uhlenbeck Processes," Papers 1807.01979, arXiv.org.
  10. Oleksii Mostovyi, 2017. "Optimal consumption of multiple goods in incomplete markets," Papers 1705.02291, arXiv.org, revised Jan 2018.
  11. Le Courtois, Olivier & Menoncin, Francesco, 2015. "Portfolio optimisation with jumps: Illustration with a pension accumulation scheme," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 127-137.
  12. Rama Cont & Peter Tankov, 2009. "Constant Proportion Portfolio Insurance In The Presence Of Jumps In Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 379-401, July.
  13. David Criens & Kathrin Glau & Zorana Grbac, 2015. "Martingale property of exponential semimartingales: a note on explicit conditions and applications to financial models," Papers 1506.08127, arXiv.org, revised Aug 2016.
  14. Mariani, Francesca & Recchioni, Maria Cristina & Ciommi, Mariateresa, 2019. "Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach," European Journal of Operational Research, Elsevier, vol. 275(3), pages 1178-1189.
  15. Niu, Liqun, 2008. "Some stability results of optimal investment in a simple Lévy market," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 445-452, February.
  16. Mauricio Junca & Rafael Serrano, 2014. "Utility maximization in pure-jump models driven by marked point processes and nonlinear wealth dynamics," Papers 1411.1103, arXiv.org, revised Sep 2015.
  17. Kallsen Jan & Kühn Christoph, 2006. "On utility-based derivative pricing with and without intermediate trades," Statistics & Risk Modeling, De Gruyter, vol. 24(4), pages 415-434, October.
  18. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.
  19. Kasper Larsen, 2009. "Continuity Of Utility‐Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250, April.
  20. Yacine Aït-Sahalia & Thomas Robert Hurd, 2016. "Portfolio Choice in Markets with Contagion," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 1-28.
  21. Oscar Lopez & Rafael Serrano, 2014. "Martingale approach to optimal portfolio-consumption problems in Markov-modulated pure-jump models," Papers 1406.3112, arXiv.org.
  22. Li, Ping & Zhao, Wu & Zhou, Wei, 2015. "Ruin probabilities and optimal investment when the stock price follows an exponential Lévy process," Applied Mathematics and Computation, Elsevier, vol. 259(C), pages 1030-1045.
  23. Riesner, Martin, 2006. "Hedging life insurance contracts in a Lévy process financial market," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 599-608, June.
  24. Jan Kallsen & Richard Vierthauer, 2009. "Quadratic hedging in affine stochastic volatility models," Review of Derivatives Research, Springer, vol. 12(1), pages 3-27, April.
  25. Darong Dai, 2013. "Wealth Martingale and Neighborhood Turnpike Property In Dynamically Complete Market With Heterogeneous Investors," Economic Research Guardian, Mutascu Publishing, vol. 3(2), pages 86-110, December.
  26. Hurd T. R., 2004. "A note on log-optimal portfolios in exponential Lévy markets," Statistics & Risk Modeling, De Gruyter, vol. 22(3), pages 225-233, March.
  27. João Guerra & Manuel Guerra & Zachary Polaski, 2019. "Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market," Working Papers REM 2019/74, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
  28. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Portfolio optimization for a large investor controlling market sentiment under partial information," Papers 1706.03567, arXiv.org.
  29. Dai, Darong, 2011. "Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors," MPRA Paper 46416, University Library of Munich, Germany.
  30. Rüschendorf Ludger & Wolf Viktor, 2015. "Cost-efficiency in multivariate Lévy models," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-16, April.
  31. Dmitry Rokhlin, 2008. "Asymptotic arbitrage and numéraire portfolios in large financial markets," Finance and Stochastics, Springer, vol. 12(2), pages 173-194, April.
  32. Johannes Temme, 2011. "Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models," Papers 1103.5575, arXiv.org, revised Apr 2012.
  33. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
  34. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the Existence of Shadow Prices," Papers 1111.6633, arXiv.org, revised Jan 2013.
  35. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2013. "On the existence of shadow prices," Finance and Stochastics, Springer, vol. 17(4), pages 801-818, October.
  36. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney.
  37. Leitner, Johannes, 2000. "Utility Maximization and Duality," CoFE Discussion Papers 00/34, University of Konstanz, Center of Finance and Econometrics (CoFE).
  38. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
  39. Zbigniew Palmowski & {L}ukasz Stettner & Anna Sulima, 2018. "Optimal portfolio selection in an It\^o-Markov additive market," Papers 1806.03496, arXiv.org.
  40. Kathrin Glau & Zorana Grbac & Antonis Papapantoleon, 2016. "A unified view of LIBOR models," Papers 1601.01352, arXiv.org, revised Jul 2016.
  41. Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 76(1), pages 21-41, August.
  42. Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
  43. Tahir Choulli & Christophe Stricker & Jia Li, 2007. "Minimal Hellinger martingale measures of order q," Finance and Stochastics, Springer, vol. 11(3), pages 399-427, July.
  44. David Criens & Kathrin Glau & Zorana Grbac, 2017. "Martingale property of exponential semimartingales: a note on explicit conditions and applications to asset price and Libor models," Post-Print hal-03898993, HAL.
  45. Rafael Serrano & Camilo Castillo, 2018. "ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach," Papers 1810.08466, arXiv.org, revised Aug 2021.
  46. Zbigniew Palmowski & Łukasz Stettner & Anna Sulima, 2019. "Optimal Portfolio Selection in an Itô–Markov Additive Market," Risks, MDPI, vol. 7(1), pages 1-32, March.
  47. Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2011. "On the existence of shadow prices," Working Papers hal-00645980, HAL.
  48. Antonis Papapantoleon, 2008. "An introduction to L\'{e}vy processes with applications in finance," Papers 0804.0482, arXiv.org, revised Nov 2008.
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