Power Utility Maximization in Constrained Exponential Lévy Models
dc.contributor.author
Nutz, Marcel
dc.date.accessioned
2020-09-28T10:09:53Z
dc.date.available
2017-06-09T08:28:38Z
dc.date.available
2020-09-28T10:09:53Z
dc.date.issued
2009-12-09
dc.identifier.uri
http://hdl.handle.net/20.500.11850/27500
dc.description.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.
en_US
dc.language.iso
en
en_US
dc.publisher
Cornell University
en_US
dc.title
Power Utility Maximization in Constrained Exponential Lévy Models
en_US
dc.type
Working Paper
ethz.journal.title
arXiv
ethz.pages.start
0912.1885
en_US
ethz.size
22 p.
en_US
ethz.identifier.arxiv
0912.1885
ethz.publication.place
Ithaca, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.relation.isPreviousVersionOf
20.500.11850/55613
ethz.date.deposited
2017-06-09T08:28:52Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d7acb08589792
ethz.ecitpid
pub:46342
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-25T18:23:28Z
ethz.rosetta.lastUpdated
2021-02-15T17:37:15Z
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true
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Working Paper [5325]