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- Title
ON THE OPTIMAL PORTFOLIO FOR THE EXPONENTIAL UTILITY MAXIMIZATION: REMARKS TO THE SIX-AUTHOR PAPER.
- Authors
Kabanov, Yuri M.; Stricker, Christophe
- Abstract
This note contains ramifications of results of Delbaen et al. (2002). Assuming that the price process is locally bounded and admits an equivalent local martingale measure with finite entropy, we show, without further assumption, that in the case of exponential utility the optimal portfolio process is a martingale with respect to each local martingale measure with finite entropy. Moreover, the optimal value always can be attained on a sequence of uniformly bounded portfolios.
- Subjects
INVESTMENTS; PORTFOLIO management (Investments); MAXIMUM entropy method; UTILITY theory; MATHEMATICAL optimization; EXPONENTIAL functions; PRICING
- Publication
Mathematical Finance, 2002, Vol 12, Issue 2, p125
- ISSN
0960-1627
- Publication type
Article
- DOI
10.1111/1467-9965.t01-1-02002