Article ID Journal Published Year Pages File Type
5077385 Insurance: Mathematics and Economics 2008 8 Pages PDF
Abstract
We investigate some investment problems of maximizing the expected utility of the terminal wealth in a simple Lévy market, where the stock price is driven by a Brownian motion plus a Poisson process. The optimal investment portfolios are given explicitly under the hypotheses that the utility functions belong to the HARA, exponential and logarithmic classes. We show that the solutions for the HARA utility are stable in the sense of weak convergence when the parameters vary in a suitable way.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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