Utility maximization in models with conditionally independent increments

Details Utility maximization in models with conditionally independent increments Utility maximization in models with conditionally independent increments

2009-11-18

arxiv.org/abs/0911.3608v1

Economy

Quantitative Finance

Portfolio Management

16 pages

Scientific paper

We consider the problem of maximizing expected utility from terminal wealth
in models with stochastic factors. Using martingale methods and a conditioning
argument, we determine the optimal strategy for power utility under the
assumption that the increments of the asset price are independent conditionally
on the factor process.

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