Utility maximization in models with conditionally independent increments
Portfolio Management
2009-11-22 v1 Optimization and Control
Probability
Computational Finance
Abstract
We consider the problem of maximizing expected utility from terminal wealth in models with stochastic factors. Using martingale methods and a conditioning argument, we determine the optimal strategy for power utility under the assumption that the increments of the asset price are independent conditionally on the factor process.
Keywords
Cite
@article{arxiv.0911.3608,
title = {Utility maximization in models with conditionally independent increments},
author = {Jan Kallsen and Johannes Muhle-Karbe},
journal= {arXiv preprint arXiv:0911.3608},
year = {2009}
}
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16 pages