UTILITY MAXIMIZATION IN MODELS WITH CONDITIONALLY INDEPENDENT INCREMENTS

• 成果类型: Article
• 署名作者: Kallsen, J.; Muhle-Karbe, J.
• 署名单位: University of Kiel; University of Vienna
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/10-AAP680
• 发表日期: 2010
• 页码: 2162-2177
• 关键词: stochastic volatility; Optimal portfolios; Explicit solution; scholes market; consumption; selection; black

摘要

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.