Abstract
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
Publication status
publishedExternal links
Journal / series
arXivPages / Article No.
Publisher
Cornell UniversityOrganisational unit
03658 - Schweizer, Martin / Schweizer, Martin
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Is previous version of: http://hdl.handle.net/20.500.11850/55613
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