A complete explicit solution to the log-optimal portfolio problem
Goll, Thomas ; Kallsen, Jan
Ann. Appl. Probab., Tome 13 (2003) no. 1, p. 774-799 / Harvested from Project Euclid
D. Kramkov and W. Schachermayer [Ann. Appl. Probab. 9 (1999) 904-950] proved the existence of log-optimal portfolios under weak assumptions in a very general setting. For many--but not all--cases, T. Goll and J. Kallsen [Stochastic Process. Appl. 89 (2000) 31-48] obtained the optimal solution explicitly in terms of the semimartingale characteristics of the price process. By extending this result, this paper provides a complete explicit characterization of log-optimal portfolios without constraints. ¶ Moreover, the results of Goll and Kallsen are generalized here in two further respects: First, we allow for random convex trading constraints. Second, the remaining consumption time--or more generally the consumption clock--may be random, which corresponds to a life-insurance problem. ¶ Finally, we consider neutral derivative pricing in incomplete markets.
Publié le : 2003-05-14
Classification:  Portfolio optimization,  logarithmic utility,  semimartingale characteristics,  life insurance,  neutral derivative pricing,  91B28,  91B16,  60G48
@article{1050689603,
     author = {Goll, Thomas and Kallsen, Jan},
     title = {A complete explicit solution to the log-optimal portfolio problem},
     journal = {Ann. Appl. Probab.},
     volume = {13},
     number = {1},
     year = {2003},
     pages = { 774-799},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1050689603}
}
Goll, Thomas; Kallsen, Jan. A complete explicit solution to the log-optimal portfolio problem. Ann. Appl. Probab., Tome 13 (2003) no. 1, pp.  774-799. http://gdmltest.u-ga.fr/item/1050689603/