Optimal portfolios for logarithmic utility
Thomas Goll and
Stochastic Processes and their Applications, 2000, vol. 89, issue 1, 31-48
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)
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