Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika
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Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika, 2014, Number 6, Pages 16–24 (Mi vmumm359)  
This article is cited in 1 scientific paper (total in 1 paper)

Mathematics

Logarithmic utility maximization in an exponential Lévy model

M. Yu. Ivanov

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics
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Abstract: The problems of logarithmic utility maximization and finding the numéraire portfolio in an exponential Lévy model are studied in the paper in terms of Lévy–Khinchin triplet.
Key words: equivalent martingale measure, equivalent $\sigma$-martingale density, numéraire portfolio, logarithmic utility, exponential Lévy model.
Received: 24.09.2012
English version:
Moscow University Mathematics Bulletin, 2014, Volume 69, Issue 6, Pages 242–250
DOI: https://doi.org/10.3103/S0027132214060035
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: M. Yu. Ivanov, “Logarithmic utility maximization in an exponential Lévy model”, Vestnik Moskov. Univ. Ser. 1. Mat. Mekh., 2014, no. 6, 16–24; Moscow University Mathematics Bulletin, 69:6 (2014), 242–250
Citation in format AMSBIB
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\by M.~Yu.~Ivanov
\paper Logarithmic utility maximization in an exponential L\'{e}vy model
\jour Vestnik Moskov. Univ. Ser.~1. Mat. Mekh.
\yr 2014
\issue 6
\pages 16--24
\mathnet{http://mi.mathnet.ru/vmumm359}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=3370846}
\transl
\jour Moscow University Mathematics Bulletin
\yr 2014
\vol 69
\issue 6
\pages 242--250
\crossref{https://doi.org/10.3103/S0027132214060035}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-84920493296}
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