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A note on log-optimal portfolios in exponential Lévy markets
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T. R. Hurd
Veröffentlicht/Copyright:
25. September 2009
Abstract
In this note we revisit Merton’s optimal portfolio selection problem in an exponential Lévy market, for an agent acting with a canonical utility function, the logarithm. As we show, the explicit optimal portfolios exhibit features similar to some of the pathological examples given by Kramkov and Schachermayer where certain discounted asset processes fail to be martingales. In our examples, these pathologies are seen to arise from natural shortselling and borrowing constraints imposed by the logarithmic utility.
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Published Online: 2009-09-25
Published in Print: 2004-03-01
© 2004 Oldenbourg Wissenschaftsverlag GmbH
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Artikel in diesem Heft
- On Robins’ formula
- Optimal influence curves for general loss functions
- A note on log-optimal portfolios in exponential Lévy markets
- On the asymptotic equivalence and rate of convergence of nonparametric regression and Gaussian white noise
- CWLS and ML estimates in a heteroscedastic RCA(1) model
Artikel in diesem Heft
- On Robins’ formula
- Optimal influence curves for general loss functions
- A note on log-optimal portfolios in exponential Lévy markets
- On the asymptotic equivalence and rate of convergence of nonparametric regression and Gaussian white noise
- CWLS and ML estimates in a heteroscedastic RCA(1) model
