Optimal portfolios for logarithmic utility

We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process.

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Year of publication:	2000
Authors:	Goll, Thomas ; Kallsen, Jan
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 89.2000, 1, p. 31-48
Publisher:	Elsevier
Keywords:	Portfolio optimization Logarithmic utility Semimartingale characteristics Martingale method

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875733