Power Utility Maximization in Constrained Exponential L\'evy Models

Marcel Nutz

Papers from arXiv.org

Abstract: We study power utility maximization for exponential L\'evy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the L\'evy triplet is constructed under minimal assumptions by solving the Bellman equation. We use a novel transformation of the model to avoid technical conditions. The consequences for q-optimal martingale measures are discussed as well as extensions to non-convex constraints.

Date: 2009-12, Revised 2010-09
New Economics Papers: this item is included in nep-upt
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Mathematical Finance, Vol. 22, No. 4, pp. 690-709, 2012

Downloads: (external link)
http://arxiv.org/pdf/0912.1885 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0912.1885

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().