Simple strategies in exponential utility maximization

Christophe Stricker

Séminaire de probabilités de Strasbourg (2002)

  • Volume: 36, page 415-418

How to cite


Stricker, Christophe. "Simple strategies in exponential utility maximization." Séminaire de probabilités de Strasbourg 36 (2002): 415-418. <>.

author = {Stricker, Christophe},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {exponential utility; semimartingale topology; stochastic integrals},
language = {eng},
pages = {415-418},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Simple strategies in exponential utility maximization},
url = {},
volume = {36},
year = {2002},

AU - Stricker, Christophe
TI - Simple strategies in exponential utility maximization
JO - Séminaire de probabilités de Strasbourg
PY - 2002
PB - Springer - Lecture Notes in Mathematics
VL - 36
SP - 415
EP - 418
LA - eng
KW - exponential utility; semimartingale topology; stochastic integrals
UR -
ER -


  1. [1] C. Dellacherie and P.A. Meyer. Probabilités et Potentiel. Chapitres V à VIII. Hermann1980. Zbl0464.60001MR566768
  2. [2] M. Émery. Une topologie sur l'espace des semimartingales. Séminaire de Prob. XIII, LNM721, 281-293, Springer1979. MR544800
  3. [3] Y. Kabanov, C. Stricker. On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper. To appear in Mathematical Finance (2002). Zbl1073.91034MR1891731
  4. [4] P. Protter. Stochastic integration and differential equations. Springer1990. Zbl0694.60047MR1037262

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