Optimal portfolios for logarithmic utility

By Thomas Goll, Jan Kallsen. 2000

161 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e9b5119de41cd4f4fdd2c45db78c89d2d9f630aa

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Citations in the corpus

MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES (2007, unknown): “Condition (Cq) appears for q ∈ (−∞,0) also in Kallsen [14] and in Goll and Rüschendorf [10].”
On using shadow prices in portfolio optimization with transaction costs (2010, background): “3 (adapted to frictionless markets where the restriction to strategies of finite variation is dropped) if and only if (ψ, κ) is optimal in the sense of [7], Definition 2.”
A Didactic Note on Affine Stochastic Volatility Models (2006, background): “The effect ofC2-functions on the characteristics follows directly from Itô’s formula (cf. Goll & Kallsen (2000), Corollary A.6): Proposition 2.5 (C2-function) LetX be a Rd-valued semimartingale with differential characteristics ∂X = (b, c, F ).”
Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2011, background): “However, if X does not have jumps of size less or equal to −1, then its stochastic exponential is positive, and can be represented as the ordinary exponential of another Lévy process [26], which shows that the formulations (4) and (5) are equivalent, and the choice of one or the other is simply a ma”
Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, background): “Les résultats de cette section ont été obtenus dans un travail joint avec Jan Kallsen [59].”
An introduction to Lévy processes with applications in finance (2008, background): “For the connection between the natural and stochastic exponential for Lévy processes, we refer to Lemma A.8 in Goll and Kallsen (2000).”
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES (2009, unknown): “Details and proofs may be found in Cont and Tankov (2004, chapter 9) or Goll and Kallsen (2000).”
Portfolio Choice in Markets with Contagion (2012, unknown): “ner (2006) and ensures that the above argument correctly characterizes both the optimal strategy and the associated value function. A more general veriﬁcation result for log investors can be found in Goll and Kallsen (2000). Theorem 1. Consider the optimal problem (3.6) for the log investor with imp”
Stochastic Partial Differential Equations and Portfolio Choice (2010, background): “It has also been extensively studied, for it is the numeraire with regards to which all wealth processes are supermartingales under the historical measure (see, among others, [18] and [19]).”
Asymptotics and duality for the Davis and Norman problem (2010, unknown): “[[7], Theorem 3.”
A Complete Explicit Solution to the Log-Optimal Portfolio Problem (2003, background): “12 in Goll and Kallsen (2001a). By KS, Theorem 2.”
Variance-Optimal Hedging for Processes with Stationary Independent Increments (2006, unknown): “[7, 8, 17, 18, 23-26, 33, 34, 40, 47]).”
UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, background): “is supposed to be a martingale, the only possible choice is L = 1. Hence the sufficient condition of Corollary 2.5 reduces to finding an admissible strategy’ such that 1=V (’) and S=V (’) are -martingales. For related conditions cf. [ 11 , 12].”
Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type (2003, methodology): “We would like to mention Bank and Riedel (1999), Benth, Karlsen, and Reikvam (2001a, 2001b, 2001c, 2002), Goll and Kallsen (2000), and Kallsen (2000), which model the risky asset as an exponential of a Lévy process, and Framstad, Øksendal, and Sulem (1999, 2001) who used a geometric stochastic…”