Power Utility Maximization in an Exponential Lévy Model Without a Risk-free Asset
- Cite this article as:
- Zhou, Q. Acta Mathematicae Applicatae Sinica, English Series (2005) 21: 145. doi:10.1007/s10255-005-0225-z
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We consider the problem of maximizing the expected power utility from terminal wealth in a market where logarithmic securities prices follow a Lévy process. By Girsanov’s theorem, we give explicit solutions for power utility of undiscounted terminal wealth in terms of the Lévy-Khintchine triplet.