An f-Divergence Approach for Optimal Portfolios in Exponential Lévy Models

S. Cawston () and L. Vostrikova ()
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S. Cawston: Université d’Angers, LAREMA, Département de Mathématiques
L. Vostrikova: Université d’Angers

A chapter in Inspired by Finance, 2014, pp 83-101 from Springer

Abstract: Abstract We present a unified approach to get explicit formulas for utility maximizing strategies in exponential Lévy models. This approach is related to f-divergence minimal martingale measures and based on a new concept of preservation of the Lévy property by f-divergence minimal martingale measures. For common f-divergences, i.e. functions which such that $f''(x)= ax^{\gamma},\, a>0, \, \gamma\in\mathbb{R}$ , we give the conditions for the existence of corresponding u f - maximizing strategies, as well as explicit formulas.

Keywords: f-Divergence; Exponential Lévy models; Optimal portfolio; 91B20; 60G07; 60G51 (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-02069-3_5

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DOI: 10.1007/978-3-319-02069-3_5

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