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Optimal portfolios for logarithmic utility

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  • Goll, Thomas
  • Kallsen, Jan

Abstract

We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process.

Suggested Citation

  • Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
    • Handle: RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48
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    References listed on IDEAS

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