Utility maximization in models with conditionally independent increments

J. Kallsen, Johannes Muhle‐Karbe
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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.
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具有条件独立增量的模型中的效用最大化
我们考虑了随机因素模型中终端财富期望效用最大化的问题。利用鞅方法和一个条件化论证,在假设资产价格的增量与因素过程有条件独立的情况下,确定了电力公司的最优策略。
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