[FAM-news] Goll: Optimal Portfolios for loarithmic utility, Sept 7, 2000

Andreas Schamanek Andreas.Schamanek@univie.ac.at
Wed, 6 Sep 2000 16:36:25 +0200 (MEST)


We are proudly announcing the following talk:

   Thursday, Sept 7, 2000
   FAM-ily's Seminar Room at 16:30
   (Freihaus, 7th floor)

     Thomas Goll:

     Optimal portfolios for logarithmic utility


   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.