On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper

Yuri M. Kabanov and Christophe Stricker
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Mathematical Finance, 2002, vol. 12, issue 2, 125-134

Abstract: This note contains ramifications of results of Delbaen et al. (2002). Assuming that the price process is locally bounded and admits an equivalent local martingale measure with finite entropy, we show, without further assumption, that in the case of exponential utility the optimal portfolio process is a martingale with respect to each local martingale measure with finite entropy. Moreover, the optimal value always can be attained on a sequence of uniformly bounded portfolios.

Date: 2002
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