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On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper

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  • Yuri M. Kabanov
  • Christophe Stricker

Abstract

This note contains ramifications of results of Delbaen et al. (2002). Assuming that the price process is locally bounded and admits an equivalent local martingale measure with finite entropy, we show, without further assumption, that in the case of exponential utility the optimal portfolio process is a martingale with respect to each local martingale measure with finite entropy. Moreover, the optimal value always can be attained on a sequence of uniformly bounded portfolios.

Suggested Citation

  • Yuri M. Kabanov & Christophe Stricker, 2002. "On the optimal portfolio for the exponential utility maximization: remarks to the six‐author paper," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 125-134, April.
    • Handle: RePEc:bla:mathfi:v:12:y:2002:i:2:p:125-134
    DOI: 10.1111/1467-9965.t01-1-02002
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