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2012•SIAM Journal on Control and OptimizationRequires access

A Martingale Approach to Optimal Portfolios with Jump-diffusions

Daniel Michelbrink, Huiling Le

Open publisher page 19 citations

Abstract

This paper investigates optimal investment-consumption strategies that maximize the expected utility of consumption and/or terminal wealth under jump-diffusion models using a martingale method. We characterize the optimal trading strategy and the optimal martingale measure in terms of a system of equations and obtain explicit solutions for the power and logarithmic utility case.

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What this paper is about

This paper investigates optimal investment-consumption strategies that maximize the expected utility of consumption and/or terminal wealth under jump-diffusion models using a martingale method. We characterize the optimal trading strategy and the optimal martingale measure in terms of a system of equations and obtain explicit solutions for the power and logarithmic utility case.

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OpenAlex reports 19 citations for this work. Citation counts describe recorded attention and do not establish research quality.

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Available abstract

This paper investigates optimal investment-consumption strategies that maximize the expected utility of consumption and/or terminal wealth under jump-diffusion models using a martingale method. We characterize the optimal trading strategy and the optimal martingale measure in terms of a system of equations and obtain explicit solutions for the power and logarithmic utility case.

Key concepts: Martingale (probability theory), Mathematics, Local martingale, Doob's martingale inequality, Jump, Logarithm, Martingale difference sequence, Martingale pricing

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