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// Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
// Archive
Vestnik Moskov. Univ. Ser. 1. Mat. Mekh.,
2014
Number 6,
Pages
16–24
(Mi vmumm359)
This article is cited in
1
paper
Mathematics
Logarithmic utility maximization in an exponential Lévy model
M. Yu. Ivanov
Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
Abstract:
The problems of logarithmic utility maximization and finding the numéraire portfolio in an exponential Lévy model are studied in the paper in terms of Lévy–Khinchin triplet.
Key words:
equivalent martingale measure, equivalent
$\sigma$
-martingale density, numéraire portfolio, logarithmic utility, exponential Lévy model.
UDC:
519.21
Received:
24.09.2012
Fulltext:
PDF file (394 kB)
References
Cited by
English version:
Moscow University Mathematics Bulletin, Moscow University Mеchanics Bulletin, 2014,
69
:6,
242–250
Bibliographic databases:
©
Steklov Math. Inst. of RAS
, 2026
Fulltext:
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