{"id":"https://openalex.org/W2116512897","doi":"https://doi.org/10.1214/10-aap680","title":"Utility maximization in models with conditionally independent increments","display_name":"Utility maximization in models with conditionally independent increments","publication_year":2010,"publication_date":"2010-10-19","ids":{"openalex":"https://openalex.org/W2116512897","doi":"https://doi.org/10.1214/10-aap680","mag":"2116512897"},"language":"en","primary_location":{"id":"doi:10.1214/10-aap680","doi":"https://doi.org/10.1214/10-aap680","is_oa":true,"landing_page_url":"https://doi.org/10.1214/10-aap680","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-20/issue-6/Utility-maximization-in-models-with-conditionally-independent-increments/10.1214/10-AAP680.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"bronze","oa_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-20/issue-6/Utility-maximization-in-models-with-conditionally-independent-increments/10.1214/10-AAP680.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5027547292","display_name":"Jan Kallsen","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I129774422","display_name":"University of Vienna","ror":"https://ror.org/03prydq77","country_code":"AT","type":"education","lineage":["https://openalex.org/I129774422"]},{"id":"https://openalex.org/I32021983","display_name":"Christian-Albrechts-Universit\u00e4t zu Kiel","ror":"https://ror.org/04v76ef78","country_code":"DE","type":"education","lineage":["https://openalex.org/I32021983"]}],"countries":["AT","DE"],"is_corresponding":false,"raw_author_name":"J. Kallsen","raw_affiliation_strings":["Christian-Albrechts-Universit\u00e4t zu Kiel and Universit\u00e4t Wien","UNIVERSITY OF KIEL"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Christian-Albrechts-Universit\u00e4t zu Kiel and Universit\u00e4t Wien","institution_ids":["https://openalex.org/I129774422","https://openalex.org/I32021983"]},{"raw_affiliation_string":"UNIVERSITY OF KIEL","institution_ids":["https://openalex.org/I32021983"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5018432446","display_name":"Johannes Muhle\u2010Karbe","orcid":"https://orcid.org/0000-0002-9165-2244","observed_orcids":["https://orcid.org/0000-0002-9165-2244"]},"institutions":[{"id":"https://openalex.org/I129774422","display_name":"University of Vienna","ror":"https://ror.org/03prydq77","country_code":"AT","type":"education","lineage":["https://openalex.org/I129774422"]},{"id":"https://openalex.org/I32021983","display_name":"Christian-Albrechts-Universit\u00e4t zu Kiel","ror":"https://ror.org/04v76ef78","country_code":"DE","type":"education","lineage":["https://openalex.org/I32021983"]}],"countries":["AT","DE"],"is_corresponding":false,"raw_author_name":"J. Muhle-Karbe","raw_affiliation_strings":["Christian-Albrechts-Universit\u00e4t zu Kiel and Universit\u00e4t Wien","Univ. of Vienna#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Christian-Albrechts-Universit\u00e4t zu Kiel and Universit\u00e4t Wien","institution_ids":["https://openalex.org/I129774422","https://openalex.org/I32021983"]},{"raw_affiliation_string":"Univ. of Vienna#TAB#","institution_ids":["https://openalex.org/I129774422"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.9003,"has_fulltext":true,"cited_by_count":19,"citation_normalized_percentile":{"value":0.93975306,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"20","issue":"6","first_page":"2162","last_page":"2177"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9990000128746033,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.00039999998989515007,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.0,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/utility-maximization","display_name":"utility maximization","score":0.8730000257492065},{"id":"https://openalex.org/keywords/expected-utility","display_name":"expected utility","score":0.824999988079071},{"id":"https://openalex.org/keywords/terminal-wealth","display_name":"terminal wealth","score":0.9340000152587891},{"id":"https://openalex.org/keywords/electricity-sector","display_name":"electric utilities","score":0.7549999952316284},{"id":"https://openalex.org/keywords/stochastic-factors","display_name":"stochastic factors","score":0.6179999709129333},{"id":"https://openalex.org/keywords/optimal-investment-strategy","display_name":"optimal investment strategy","score":0.8980000019073486},{"id":"https://openalex.org/keywords/martingale-method","display_name":"martingale method","score":0.8569999933242798},{"id":"https://openalex.org/keywords/factor-models","display_name":"factor models","score":0.4269999861717224}],"concepts":[{"id":"https://openalex.org/C2985793214","wikidata":"https://www.wikidata.org/wiki/Q3274096","display_name":"Utility maximization","level":2,"score":0.7798111438751221},{"id":"https://openalex.org/C48406656","wikidata":"https://www.wikidata.org/wiki/Q534112","display_name":"Martingale (probability theory)","level":2,"score":0.6678746938705444},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.5220739245414734},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.5122987031936646},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.505436897277832},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4913925230503082},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4645613729953766},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.4320528507232666},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.43193328380584717},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4304797947406769},{"id":"https://openalex.org/C98184364","wikidata":"https://www.wikidata.org/wiki/Q1780131","display_name":"Argument (complex analysis)","level":2,"score":0.42111679911613464},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.29425835609436035},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.20762154459953308},{"id":"https://openalex.org/C55493867","wikidata":"https://www.wikidata.org/wiki/Q7094","display_name":"Biochemistry","level":1,"score":0.0},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1214/10-aap680","doi":"https://doi.org/10.1214/10-aap680","is_oa":true,"landing_page_url":"https://doi.org/10.1214/10-aap680","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-20/issue-6/Utility-maximization-in-models-with-conditionally-independent-increments/10.1214/10-AAP680.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:arx:papers:0911.3608","doi":null,"is_oa":false,"landing_page_url":"http://arxiv.org/pdf/0911.3608","pdf_url":"http://arxiv.org/pdf/0911.3608","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:arXiv.org:0911.3608","doi":null,"is_oa":true,"landing_page_url":"http://arxiv.org/abs/0911.3608","pdf_url":"https://arxiv.org/pdf/0911.3608","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},{"id":"mag:2116512897","doi":null,"is_oa":true,"landing_page_url":"https://www.arxiv.org/pdf/0911.3608","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"pmh:oai:CULeuclid:euclid.aoap/1287494557","doi":null,"is_oa":false,"landing_page_url":"https://projecteuclid.org/euclid.aoap/1287494557","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"doi:10.48550/arxiv.0911.3608","doi":"https://doi.org/10.48550/arxiv.0911.3608","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.0911.3608","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.1214/10-aap680","doi":"https://doi.org/10.1214/10-aap680","is_oa":true,"landing_page_url":"https://doi.org/10.1214/10-aap680","pdf_url":"https://projecteuclid.org/journals/annals-of-applied-probability/volume-20/issue-6/Utility-maximization-in-models-with-conditionally-independent-increments/10.1214/10-AAP680.pdf","source":{"id":"https://openalex.org/S9093621","display_name":"The Annals of Applied Probability","issn_l":"1050-5164","issn":["1050-5164","2168-8737"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","dongbi-b","doyens","jufo-3","norway-2","poland-140","russia-white-list-1"],"host_organization":"https://openalex.org/P4310319881","host_organization_name":"Institute of Mathematical Statistics","host_organization_lineage":["https://openalex.org/P4310319881"],"host_organization_lineage_names":["Institute of Mathematical Statistics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Annals of Applied Probability","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2116512897.pdf","grobid_xml":"https://content.openalex.org/works/W2116512897.grobid-xml"},"referenced_works_count":34,"referenced_works":["https://openalex.org/W1551623652","https://openalex.org/W1562739506","https://openalex.org/W1930083487","https://openalex.org/W1968051860","https://openalex.org/W1973007344","https://openalex.org/W1973185776","https://openalex.org/W1984697146","https://openalex.org/W1986077423","https://openalex.org/W1991552664","https://openalex.org/W1993952185","https://openalex.org/W1995522593","https://openalex.org/W1998107368","https://openalex.org/W2005158847","https://openalex.org/W2019160807","https://openalex.org/W2031817855","https://openalex.org/W2032727311","https://openalex.org/W2032883248","https://openalex.org/W2042775870","https://openalex.org/W2044417422","https://openalex.org/W2059698282","https://openalex.org/W2078009515","https://openalex.org/W2081877251","https://openalex.org/W2089772788","https://openalex.org/W2095499328","https://openalex.org/W2098835926","https://openalex.org/W2131563583","https://openalex.org/W2184939769","https://openalex.org/W2274316087","https://openalex.org/W2318230770","https://openalex.org/W2484299058","https://openalex.org/W2749612601","https://openalex.org/W3020720816","https://openalex.org/W3121574170","https://openalex.org/W4293092461"],"related_works":["https://openalex.org/W1993952185","https://openalex.org/W2131407826","https://openalex.org/W3122349323","https://openalex.org/W1975807791","https://openalex.org/W7098959194","https://openalex.org/W7100603492","https://openalex.org/W196696591","https://openalex.org/W3045146430","https://openalex.org/W2088189605","https://openalex.org/W2166846086"],"abstract_inverted_index":{"We":[0],"consider":[1],"the":[2,25,32,35,38,45],"problem":[3],"of":[4,37],"maximizing":[5],"expected":[6],"utility":[7,30],"from":[8],"terminal":[9],"wealth":[10],"in":[11],"models":[12],"with":[13],"stochastic":[14],"factors.":[15],"Using":[16],"martingale":[17],"methods":[18],"and":[19],"a":[20],"conditioning":[21],"argument,":[22],"we":[23],"determine":[24],"optimal":[26],"strategy":[27],"for":[28],"power":[29],"under":[31],"assumption":[33],"that":[34],"increments":[36],"asset":[39],"price":[40],"are":[41],"independent":[42],"conditionally":[43],"on":[44],"factor":[46],"process.":[47]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}