Utility maximization in models with conditionally independent increments
نویسندگان
چکیده
منابع مشابه
Utility Maximization in Models with Conditionally Independent Increments
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process. 1. Introduction. A classical problem in Mathematical Finance is to ...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2010
ISSN: 1050-5164
DOI: 10.1214/10-aap680