{"title":"Utility maximization in models with conditionally independent increments","authors":"J. Kallsen, Johannes Muhle‐Karbe","doi":"10.1214/10-AAP680","DOIUrl":null,"url":null,"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.","PeriodicalId":286833,"journal":{"name":"arXiv: Portfolio Management","volume":"73 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"17","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1214/10-AAP680","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 17
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.