From the minimal entropy martingale measures to the optimal strategies for the exponential utility maximization: The case of geometric Lévy processes

被引：0

作者：

Fujiwara T. ^{[1
]}

机构：

[1] Department of Mathematics, Hyogo University of Teacher Education, Kato

来源：

Asia-Pacific Financial Markets | 2004年 / 11卷 / 4期

关键词：

(Local) martingale measure; Exponential utility; Geometric Lévy process; Minimal entropy martingale measure; Optimal strategy; Separating measure;

D O I：

10.1007/s10690-006-9019-4

中图分类号：

学科分类号：

摘要：

In this article, we will consider a multi-dimensional geometric L'evy process as a financial market model. We will first determine the minimal entropy martingale measure (MEMM); we will next derive the optimal strategy for the exponential utility maximization of terminal wealth concretely from the representation of the MEMM. © Springer 2006.

引用

页码：367 / 391

页数：24

共 6 条

[1] The minimal entropy martingale measures for geometric Lévy processes
Tsukasa Fujiwara
Yoshio Miyahara
Finance and Stochastics, 2003, 7 : 509 - 531
[2] Minimal q-entropy martingale measures for exponential time-changed Lévy processes
Stefan Kassberger
Thomas Liebmann
Finance and Stochastics, 2011, 15 : 117 - 140
[3] The minimal entropy martingale measures for geometric Levy processes
Fujiwara, T
Miyahara, Y
FINANCE AND STOCHASTICS, 2003, 7 (04) : 509 - 531
[4] On q-optimal martingale measures in exponential Lévy models
Christian Bender
Christina R. Niethammer
Finance and Stochastics, 2008, 12 : 381 - 410
[5] The Minimal Entropy Martingale Measure (MEMM) for a Markov-Modulated Exponential Lévy Model
Romuald Hervé Momeya
Zied Ben Salah
Asia-Pacific Financial Markets, 2012, 19 (1) : 63 - 98
[6] Minimal q-entropy martingale measures for exponential time-changed Levy processes
Kassberger, Stefan
Liebmann, Thomas
FINANCE AND STOCHASTICS, 2011, 15 (01) : 117 - 140

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