{"title":"具有条件独立增量的模型中的效用最大化","authors":"J. Kallsen, Johannes Muhle‐Karbe","doi":"10.1214/10-AAP680","DOIUrl":null,"url":null,"abstract":"We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process.","PeriodicalId":286833,"journal":{"name":"arXiv: Portfolio Management","volume":"73 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2009-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"17","resultStr":"{\"title\":\"Utility maximization in models with conditionally independent increments\",\"authors\":\"J. Kallsen, Johannes Muhle‐Karbe\",\"doi\":\"10.1214/10-AAP680\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process.\",\"PeriodicalId\":286833,\"journal\":{\"name\":\"arXiv: Portfolio Management\",\"volume\":\"73 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2009-11-18\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"17\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv: Portfolio Management\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1214/10-AAP680\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: Portfolio Management","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1214/10-AAP680","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Utility maximization in models with conditionally independent increments
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process.
求助内容：
应助结果提醒方式：
京公网安备 11010802042870号
