Publikation: Utility maximization under g*-expectation
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2016
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Stochastic Analysis and Applications. 2016, 34(4), pp. 644-661. ISSN 0736-2994. eISSN 1532-9356. Available under: doi: 10.1080/07362994.2016.1165121
Zusammenfassung
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) = βt|z|2 + γtz.
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510 Mathematik
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JIANG, Yongxu, Peng LUO, Lihe WANG, Dewen XIONG, 2016. Utility maximization under g*-expectation. In: Stochastic Analysis and Applications. 2016, 34(4), pp. 644-661. ISSN 0736-2994. eISSN 1532-9356. Available under: doi: 10.1080/07362994.2016.1165121BibTex
@article{Jiang2016Utili-39906,
year={2016},
doi={10.1080/07362994.2016.1165121},
title={Utility maximization under g*-expectation},
number={4},
volume={34},
issn={0736-2994},
journal={Stochastic Analysis and Applications},
pages={644--661},
author={Jiang, Yongxu and Luo, Peng and Wang, Lihe and Xiong, Dewen}
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