Search Results - subject:"Power utility maximization"

Gabih, Abdelali; Kondakji, Hakam; Wunderlich, Ralf - In: Annals of Operations Research 341 (2024) 2, pp. 897-936

analysis. Drift estimates are based on Kalman filter techniques. They are used to transform a power utility maximization …

Persistent link: https://www.econbiz.de/10015371278

Frei, Christoph; Mocha, Markus; Westray, Nicholas - In: Stochastic Processes and their Applications 122 (2012) 6, pp. 2486-2519

This article studies quadratic semimartingale BSDEs arising in power utility maximization when the market price of risk …

Persistent link: https://www.econbiz.de/10010577842