- Working Paper
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 Show more
Pages / Article No.
Organisational unit03658 - Schweizer, Martin / Schweizer, Martin
NotesSubmitted on 9 December 2009, Last revised 7 September 2010.
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