We consider the problem of maximizing the expected power utility fromterminal wealth in a market where logarithmic securities prices follow a Lévy process. By Girsanovstheorem, we give explicit solutions for powe...We consider the problem of maximizing the expected power utility fromterminal wealth in a market where logarithmic securities prices follow a Lévy process. By Girsanovstheorem, we give explicit solutions for power utility of undiscounted terminal wealth in terms ofthe Lévy-Khintchine triplet.展开更多
文摘We consider the problem of maximizing the expected power utility fromterminal wealth in a market where logarithmic securities prices follow a Lévy process. By Girsanovstheorem, we give explicit solutions for power utility of undiscounted terminal wealth in terms ofthe Lévy-Khintchine triplet.
