Utility maximization in models with conditionally independent increments
Kallsen, J. ; Muhle-Karbe, J.
Ann. Appl. Probab., Tome 20 (2010) no. 1, p. 2162-2177 / Harvested from Project Euclid
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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.
Publié le : 2010-12-15
Classification:  Utility maximization,  stochastic factors,  conditionally independent increments,  martingale method,  91B28,  91B16,  60G51 
@article{1287494557,
     author = {Kallsen, J. and Muhle-Karbe, J.},
     title = {Utility maximization in models with conditionally independent increments},
     journal = {Ann. Appl. Probab.},
     volume = {20},
     number = {1},
     year = {2010},
     pages = { 2162-2177},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1287494557}
}

Kallsen, J.; Muhle-Karbe, J. Utility maximization in models with conditionally independent increments. Ann. Appl. Probab., Tome 20 (2010) no. 1, pp.  2162-2177. http://gdmltest.u-ga.fr/item/1287494557/