Work

Utility maximization in models with conditionally independent increments

Year: 2010

Type: article

Abstract: 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.

Source: The Annals of Applied Probability

DOI: 10.1214/10-aap680

Authors: J. Kallsen, J. Muhle-Karbe

Institutions: University of Vienna, Christian-Albrechts-Universität zu Kiel

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2116512897

FWCI: 3.9

Cites: 34

Cited by: 19

Related to: 10