Title of article
Optimal portfolios for logarithmic utility
Author/Authors
Goll، نويسنده , , Thomas and Kallsen، نويسنده , , Jan، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2000
Pages
18
From page
31
To page
48
Abstract
We 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.
Keywords
Portfolio optimization , Logarithmic utility , Martingale method , Semimartingale characteristics
Journal title
Stochastic Processes and their Applications
Serial Year
2000
Journal title
Stochastic Processes and their Applications
Record number
1576663
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