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December 2010 Utility maximization in models with conditionally independent increments
J. Kallsen, J. Muhle-Karbe
Ann. Appl. Probab. 20(6): 2162-2177 (December 2010). DOI: 10.1214/10-AAP680

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

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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

Information

Published: December 2010
First available in Project Euclid: 19 October 2010

zbMATH: 1202.91299
MathSciNet: MR2759731
Digital Object Identifier: 10.1214/10-AAP680

Subjects:
Primary: 91B16 , 91B28
Secondary: 60G51

Keywords: conditionally independent increments , martingale method , stochastic factors , utility maximization

Rights: Copyright © 2010 Institute of Mathematical Statistics

Vol.20 • No. 6 • December 2010
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