Title of article :
Optimal portfolios for logarithmic utility
Author/Authors :
Goll، نويسنده , , Thomas and Kallsen، نويسنده , , Jan، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process.
Keywords :
Portfolio optimization , Logarithmic utility , Martingale method , Semimartingale characteristics
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
