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20092020
most citedUtility maximisation and utility indifference price for exponential semi-martingale models with random factor

2 citations · 4 across the 12 of their papers we have counts for

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math.PR2010

An -divergence approach for optimal portfolios in exponential Levy models

S. Cawston, L. Vostrikova

We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to -divergence minimal martingale m…