On convergence to the exponential utility problem

Michael Kohlmann and Christina R. Niethammer

Stochastic Processes and their Applications, 2007, vol. 117, issue 12, 1813-1834

Abstract: We provide a method for solving dynamic expected utility maximization problems with possibly not everywhere increasing utility functions in an Lp-semimartingale setting. In particular, we solve the problem for utility functions of type (exponential problem) and (2m-th problem). The convergence of the 2m-th problems to the exponential one is proved. Using this result an explicit portfolio for the exponential problem is derived.

Keywords: Convex; analysis; Stochastic; duality; Exponential; utility; function; Minimal; entropy; martingale; measure; Convergence; of; q-optimal; martingale; measures; Wealth; and; portfolios (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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