AbstractWe 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
We present an optimal portfolio problem with logarithmic utility in the following 3 cases: \begin{it...
AbstractThe effectiveness of utility-maximization techniques for portfolio management relies on our ...
AbstractThe problem of determining optimal portfolio rules is considered. Prices are allowed to be s...
We analyze the stochastic control approach to the dynamic maximization of the robust utility of cons...
We analyze the stochastic control approach to the dynamic maximization of the robust utility of cons...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
AbstractIn this note we prove Hölder-type inequalities for products of certain functionals of correl...
Abstract — This paper concerns with portfolio problem with logarithmic utility which is maximizing t...
AbstractThis paper is a study of the diffusion portfolio model with asset price lognormality. It is ...
We study utility maximization problem for general utility functions using dynamic programming approa...
AbstractWe provide a method for solving dynamic expected utility maximization problems with possibly...
The creation of portfolio is an important and frequent task to solve in financial sector. This paper...
We propose a stochastic control approach to the dynamic maximization of robust utility functionals t...
summary:We consider a non-consuming agent investing in a stock and a money market interested in the ...
We propose a stochastic control approach to the dynamic maximization of robust utility functionals t...
We present an optimal portfolio problem with logarithmic utility in the following 3 cases: \begin{it...
AbstractThe effectiveness of utility-maximization techniques for portfolio management relies on our ...
AbstractThe problem of determining optimal portfolio rules is considered. Prices are allowed to be s...
We analyze the stochastic control approach to the dynamic maximization of the robust utility of cons...
We analyze the stochastic control approach to the dynamic maximization of the robust utility of cons...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
AbstractIn this note we prove Hölder-type inequalities for products of certain functionals of correl...
Abstract — This paper concerns with portfolio problem with logarithmic utility which is maximizing t...
AbstractThis paper is a study of the diffusion portfolio model with asset price lognormality. It is ...
We study utility maximization problem for general utility functions using dynamic programming approa...
AbstractWe provide a method for solving dynamic expected utility maximization problems with possibly...
The creation of portfolio is an important and frequent task to solve in financial sector. This paper...
We propose a stochastic control approach to the dynamic maximization of robust utility functionals t...
summary:We consider a non-consuming agent investing in a stock and a money market interested in the ...
We propose a stochastic control approach to the dynamic maximization of robust utility functionals t...
We present an optimal portfolio problem with logarithmic utility in the following 3 cases: \begin{it...
AbstractThe effectiveness of utility-maximization techniques for portfolio management relies on our ...
AbstractThe problem of determining optimal portfolio rules is considered. Prices are allowed to be s...
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