Journal article
Utility maximization under g-expectation
Stochastic analysis and applications, Vol.34(4), pp.644-661
07/03/2016
DOI: 10.1080/07362994.2016.1165121
Abstract
In this article, we introduce a nonlinear expectation, called g*-expectation, based on g-expectation and consider the optimal utility under g*-expectation in the market with a risk-free bond and d risky stocks in finite trading interval [0, T]. We construct a stochastic family by taking advantage of the comparison theorem of backward stochastic differential equations and the g*-martingale. We generalize the results of Hu et al. (Annals of Applied Probability 28(2):1691-1712, 2005), and obtain the explicit forms of the optimal trading strategies both for exp -utility and the power utility, when g(t, z) = β
t
|z|
2
+ γ
t
z.
Details
- Title: Subtitle
- Utility maximization under g-expectation
- Creators
- Yongxu Jiang - Shanghai Jiao Tong UniversityPeng Luo - University of KonstanzLihe Wang - Shanghai Jiao Tong UniversityDewen Xiong - Shanghai Jiao Tong University
- Resource Type
- Journal article
- Publication Details
- Stochastic analysis and applications, Vol.34(4), pp.644-661
- Publisher
- Taylor & Francis
- DOI
- 10.1080/07362994.2016.1165121
- ISSN
- 0736-2994
- eISSN
- 1532-9356
- Language
- English
- Date published
- 07/03/2016
- Academic Unit
- Mathematics
- Record Identifier
- 9984240879402771
Metrics
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