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Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process
2010/10/19
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of ...
Power Utility Maximization in Constrained Exponential Lévy Models
power utility Lévy process constraints dynamic programming
2010/11/3
We study power utility maximization for exponential Lévy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solut...