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Logarithmic utility maximization in an exponential Lévy model. (English. Russian original) Zbl 1354.91144
Mosc. Univ. Math. Bull. 69, No. 6, 242-250 (2014); translation from Vestn. Mosk. Univ., Ser. I 69, No. 6, 16-24 (2014).
Summary: The problems of logarithmic utility maximization and determination of the numéraire portfolio in an exponential Lévy model are studied in the paper in terms of Lévy-Khinchin triplet.
MSC:
91G10 Portfolio theory
60G48 Generalizations of martingales
60G51 Processes with independent increments; Lévy processes
60H30 Applications of stochastic analysis (to PDEs, etc.)
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