IDEAS home Printed from
   My bibliography  Save this paper

Power Utility Maximization in Constrained Exponential L\'evy Models


  • Marcel Nutz


We study power utility maximization for exponential L\'evy models with portfolio constraints, where utility is obtained from consumption and/or terminal wealth. For convex constraints, an explicit solution in terms of the L\'evy triplet is constructed under minimal assumptions by solving the Bellman equation. We use a novel transformation of the model to avoid technical conditions. The consequences for q-optimal martingale measures are discussed as well as extensions to non-convex constraints.

Suggested Citation

  • Marcel Nutz, 2009. "Power Utility Maximization in Constrained Exponential L\'evy Models," Papers 0912.1885,, revised Sep 2010.
  • Handle: RePEc:arx:papers:0912.1885

    Download full text from publisher

    File URL:
    File Function: Latest version
    Download Restriction: no

    References listed on IDEAS

    1. Sasha F. Stoikov & Thaleia Zariphopoulou, 2005. "Dynamic Asset Allocation And Consumption Choice In Incomplete Markets ," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 414-454, December.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Ariel Neufeld & Marcel Nutz, 2015. "Robust Utility Maximization with L\'evy Processes," Papers 1502.05920,, revised Mar 2016.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0912.1885. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.