Title of article :
On convergence to the exponential utility problem
Author/Authors :
Kohlmann، نويسنده , , Michael and Niethammer، نويسنده , , Christina R.، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Abstract :
We provide a method for solving dynamic expected utility maximization problems with possibly not everywhere increasing utility functions in an L p -semimartingale setting. In particular, we solve the problem for utility functions of type − e − x (exponential problem) and − ( 1 − x 2 m ) 2 m ( 2 m -th problem). The convergence of the 2 m -th problems to the exponential one is proved. Using this result an explicit portfolio for the exponential problem is derived.
Keywords :
Minimal entropy martingale measure , Exponential utility function , Wealth and portfolios , Convex analysis , Stochastic duality , Convergence of q -optimal martingale measures
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications