A Complete Explicit Solution to the Log-Optimal Portfolio Problem

By Thomas Goll, Jan Kallsen. 2003

142 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b6842a76ec19db7e6364202fac45e144916b5057

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Citations in the corpus

Variance-Optimal Hedging for Processes with Stationary Independent Increments (2006, background): “The Annals of Applied Probability 2006, Vol. 16, No. 2, 853–885 DOI: 10.1214/105051606000000178 © Institute of Mathematical Statistics, 2006”
UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, methodology): “Hence we are in the setup considered above.”
VECTOR STOCHASTIC INTEGRALS AND THE FUNDAMENTAL THEOREMS OF ASSET PRICING (2003, unknown): “1 (Druskininkai, 1974), Vilnyus, 1975, 7–32 [16] Goll T.”
Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment (2005, background): “The notion of a stochastic clock already was presented explicitly by Goll and Kallsen (2003) (where the phrase “stochastic clock” was introduced) and implicitly in Žitković (1999, 2002) and Karatzas and Žitković (2003).”
The numéraire portfolio in semimartingale financial models (2007, background): “Sufficient conditions for the existence of the numéraire portfolio are established in [18], who focus on the (almost equivalent) problem of maximizing expected logarithmic utility.”
Diversified Portfolios with Jumps in a Benchmark Framework (2004, background): “As shown originally in Long (1990) and more generally in Artzner (1997), Bajeux-Besnainou & Portait (1997), Becherer (2001), Goll & Kallsen (2003) and Platen (2002, 2004a), for a rather general class of models, there exists a unique strictly positive portfolio process S (‐⁄) d = fS”
A BENCHMARK APPROACH TO FINANCE (2006, unknown): “opic strategy and appears in a stream of literature including, for instance, Latan¶e (1959), Breiman (1961), Long (1990), Artzner (1997), Bajeux-Besnainou & Portait (1997), Karatzas & Shreve (1998), Kramkov & Schachermayer (1999), Becherer (2001), Platen (2002) and Goll & Kallsen (2003) .”
A Fair Pricing Approach to Weather Derivatives (2004, methodology): “This definition of a GOP is rather general and covers, in principle, all practically relevant discrete time models, see Bühlmann & Platen (2003), Goll & Kallsen (2003) and Platen (2004a).”
M-6-On Minimal Market Models and Minimal Martingale Measures (2010, unknown): “By contrast, the a ut ors of [11] take a general semimartingale Sand allow in addition to trading also consumption with a possibly stochastic clock; they then need the (jo int) characteristics of (S,M), whereM is a certain process defined via the stochastic clock.”
A Benchmark Approach to Quantitative Finance (2006, unknown): “• Sδ∗ “best” performing portfolio Long (1990), Becherer (2001), Pl. (2002, 2006), Bühlmann& Pl. (2003), Goll & Kallsen (2003), Karatzas & Kardaras (2007) c© Copyright Eckhard Platen 10 BA - Toronto C 1 6”