Mean-variance efficiency of optimal power and logarithmic utility portfolios
نویسندگان
چکیده
منابع مشابه
Optimal portfolios for logarithmic utility
We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process. c © 2000 Elsevier Science B.V. All rights reserved.
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2020
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-020-00270-1