Abstract
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process.
Citation
J. Kallsen. J. Muhle-Karbe. "Utility maximization in models with conditionally independent increments." Ann. Appl. Probab. 20 (6) 2162 - 2177, December 2010. https://doi.org/10.1214/10-AAP680
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