Logarithmic utility maximization in the Levy exponential model / M. Yu. Ivanov. //Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2014. № 6. P. 16-19 [Moscow Univ. Math. Bulletin. Vol. 69, N 6, 2014.].
The problems of logarithmic utility maximization and finding the numeraire portfolio in an exponential Levy model are studied in the paper in terms of Levy-Khinchin triplet.
Key words: equivalent martingale measure, equivalent σ-martingale density, numeraire portfolio, logarithmic utility, exponential Levy model.