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q-fin.PM2007
Stability of utility-maximization in incomplete markets
Kasper Larsen, Gordan Zitkovic
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial…
q-fin.PM2007
On the semimartingale property via bounded logarithmic utility
Kasper Larsen, Gordan Zitkovic
This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property…