Simple strategies in exponential utility maximization

被引：0
|
作者：
Stricker, C [1 ]
机构：
[1] Univ Franche Comte, UMR 6623, Math Lab, F-25030 Besancon, France
来源：
SEMINAIRE DE PROBABILITIES XXXVI | 2003年 / 1801卷
关键词：
exponential utility; semimartingale topology; stochastic integrals;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This short note contains a ramification of one of the main results of [3] and answers a question formulated by Michel Emery. Assuming that the price process is locally bounded and admits an equivalent local martingale measure with finite entropy, we show that in the case of exponential utility the optimal value can always be attained on a sequence of uniformly bounded portfolios with simple bounded integrands.
引用
收藏
页码：415 / 418
页数：4
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