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.
{"title":"Utility maximization in models with conditionally independent increments","authors":"J. Kallsen, Johannes Muhle‐Karbe","doi":"10.1214/10-AAP680","DOIUrl":"https://doi.org/10.1214/10-AAP680","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":0.0,"publicationDate":"2009-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115080225","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2009-10-07DOI: 10.1007/978-3-642-02608-9_7
C. Kluppelberg, S. Pergamenchtchikov
{"title":"Optimal Consumption and Investment with Bounded Downside Risk for Power Utility Functions","authors":"C. Kluppelberg, S. Pergamenchtchikov","doi":"10.1007/978-3-642-02608-9_7","DOIUrl":"https://doi.org/10.1007/978-3-642-02608-9_7","url":null,"abstract":"","PeriodicalId":286833,"journal":{"name":"arXiv: Portfolio Management","volume":"115 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-10-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116572095","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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