搜索结果: 1-5 共查到“Power Utility Maximization”相关记录5条 . 查询时间(0.078 秒)
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
utility maximization power utility exponential L´ evy process discretization
2011/3/31
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon.
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process
2010/10/19
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of ...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process BSDE
2010/4/27
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of t...
The Bellman Equation for Power Utility Maximization with Semimartingales
The Bellman Equation for Power Semimartingales
2010/11/3
The Bellman Equation for Power Utility Maximization with Semimartingales.
Power Utility Maximization in Constrained Exponential Lévy Models
power utility Lévy process constraints dynamic programming
2010/11/3
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solut...