A complete explicit solution to the log-optimal portfolio problem

Annals of Applied Probability

Volumn 13, Issue 2, 2003, Pages 774-799

  Goll, Thomas ^a   Kallsen, Jan ^a  

^a UNIVERSITY OF FREIBURG   (Germany)

Author keywords

Life insurance; Logarithmic utility; Neutral derivative pricing; Portfolio optimization; Semimartingale characteristics

Indexed keywords

EID: 21144431799     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/aoap/1050689603     Document Type: Article

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