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.

[1]  E. Eberlein,et al.  New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model , 1998 .

[2]  S. Shreve,et al.  Martingale and duality methods for utility maximization in a incomplete market , 1991 .

[3]  A. Shiryaev,et al.  Limit Theorems for Stochastic Processes , 1987 .

[4]  J. Kallsen Duality Links between Portfolio Optimization and Derivative Pricing , 1998 .

[5]  Jakša Cvitanić,et al.  Convex Duality in Constrained Portfolio Optimization , 1992 .

[6]  Bernt Øksendal,et al.  Optimal consumption and portfolio in a jump diffusion market , 2001 .

[7]  W. Schachermayer Optimal investment in incomplete markets when wealth may become negative , 2001 .

[8]  S. Shreve,et al.  Optimal portfolio and consumption decisions for a “small investor” on a finite horizon , 1987 .

[9]  E. Seneta,et al.  The Variance Gamma (V.G.) Model for Share Market Returns , 1990 .

[10]  W. Schachermayer,et al.  The asymptotic elasticity of utility functions and optimal investment in incomplete markets , 1999 .

[11]  Kenneth H. Karlsen,et al.  Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach , 2001, Finance Stochastics.

[12]  N. H. Hakansson. OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK FOR A CLASS OF UTILITY FUNCTIONS11This paper was presented at the winter meeting of the Econometric Society, San Francisco, California, December, 1966. , 1970 .

[13]  P. Samuelson LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING , 1969 .

[14]  N. H. Hakansson. OPTIMAL INVESTMENT AND CONSUMPTION STRATEGIES UNDER RISK, AN UNCERTAIN LIFETIME, AND INSURANCE* , 1969 .

[15]  R. C. Merton,et al.  Optimum Consumption and Portfolio Rules in a Continuous-Time Model* , 1975 .

[16]  J. Jacod,et al.  Integrales stochastiques par rapport a une semimartingale vectorielle et changements de filtration , 1980 .

[17]  Christophe Stricker,et al.  Couverture des actifs contingents et prix maximum , 1994 .

[18]  丸山 徹 Convex Analysisの二,三の進展について , 1977 .

[19]  Neil D. Pearson,et al.  Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case , 1991 .

[20]  Stanley R. Pliska,et al.  A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios , 1986, Math. Oper. Res..

[21]  R. C. Merton,et al.  Optimum consumption and portfolio rules in a continuous - time model Journal of Economic Theory 3 , 1971 .

[22]  Jan Kallsen,et al.  Optimal portfolios for exponential Lévy processes , 2000, Math. Methods Oper. Res..

[23]  Neil D. Pearson,et al.  Consumption and Portfolio Policies With Incomplete Markets and Short‐Sale Constraints: the Finite‐Dimensional Case , 1991 .

[24]  E. Eberlein,et al.  Hyperbolic distributions in finance , 1995 .

[25]  J. Harrison,et al.  Martingales and stochastic integrals in the theory of continuous trading , 1981 .

[26]  N. H. Hakansson. ON OPTIMAL MYOPIC PORTFOLIO POLICIES, WITH AND WITHOUT SERIAL CORRELATION OF YIELDS , 1971 .

[27]  R. Korn Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time , 1997 .

[28]  J. Cox,et al.  Optimal consumption and portfolio policies when asset prices follow a diffusion process , 1989 .

[29]  Knut K. Aase,et al.  Optimum portfolio diversification in a general continuous-time model , 1984 .

[30]  J. Jacod Calcul stochastique et problèmes de martingales , 1979 .

[31]  Jean-Michel Bismut,et al.  Growth and optimal intertemporal allocation of risks , 1975 .

[32]  R. C. Merton,et al.  Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case , 1969 .

[33]  J. Mossin Optimal multiperiod portfolio policies , 1968 .

[34]  David M. Kreps,et al.  Martingales and arbitrage in multiperiod securities markets , 1979 .

[35]  Ole E. Barndorff-Nielsen,et al.  Processes of normal inverse Gaussian type , 1997, Finance Stochastics.

[36]  KaratzasIoannis,et al.  Optimal portfolio and consumption decisions for a small investor on a finite horizon , 1987 .