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Optimal portfolios for logarithmic utility

Thomas Goll and Jan Kallsen

Stochastic Processes and their Applications, 2000, vol. 89, issue 1, 31-48

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; Semimartingale; characteristics; Martingale; method (search for similar items in EconPapers)
Date: 2000
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