On the optimal portfolio for the exponential utility maximization: Remarks to the six-author paper

Mathematical Finance

Volumn 12, Issue 2, 2002, Pages 125-134

  Kabanov, Yuri M ^a,b   Stricker, Christophe ^a  

^a UNIVERSITÉ DE FRANCHE COMTÉ   (France)

^b CENTRAL ECONOMICS AND MATHEMATICS INSTITUTE   (Russian Federation)

Author keywords

Convex duality; Exponential utility; Fenchel theorem; Portfolio optimization

Indexed keywords

EID: 0036553375     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.t01-1-02002     Document Type: Article

References (16)

1. The strong ergodic theorem for densities: Generalized Shannon-McMillan-Breiman theorem
2. Option pricing by large risk aversion utility under transaction costs
3. Sur les intégrales stochastiques de processus prévisibles non bornés
4. I-divergence geometry of probability distributions and minimization problems
5. Exponential hedging and entropic penalties
6. A compactness principle for bounded sequences of martingales
7. The minimal entropy martingale measure and the valuation problem in incomplete markets
8. Minimax and minimal distance martingale measures and their relationship to portfolio minimization
9. Hedging and liquidation under transaction costs in currency markets
10. The asymptotic elasticity of utility functions and optimal investment in incomplete markets
11. Simple strategies in the exponential utility maximization