Log-optimal and numéraire portfolios for market models stopped at a random time (Q2153525): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s00780-022-00477-8 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W4229007690 / rank
 
Normal rank
Property / cites work
 
Property / cites work: No-arbitrage up to random horizon for quasi-left-continuous models / rank
 
Normal rank
Property / cites work
 
Property / cites work: No-arbitrage under additional information for thin semimartingale models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration / rank
 
Normal rank
Property / cites work
 
Property / cites work: Additional logarithmic utility of an insider / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Shannon information of filtrations and the additional logarithmic utility of insiders / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite utility on financial markets with asymmetric information and structure properties of the price dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: The numeraire portfolio for unbounded semimartingale / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3870094 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A martingale representation theorem and valuation of defaultable securities / rank
 
Normal rank
Property / cites work
 
Property / cites work: No-arbitrage for informational discrete time market models / rank
 
Normal rank
Property / cites work
 
Property / cites work: How non-arbitrage, viability and numéraire portfolio are related / rank
 
Normal rank
Property / cites work
 
Property / cites work: Explicit Description of HARA Forward Utilities and Their Optimal Portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimal Hellinger martingale measures of order \(q\) / rank
 
Normal rank
Property / cites work
 
Property / cites work: Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality / rank
 
Normal rank
Property / cites work
 
Property / cites work: No Arbitrage and the Growth Optimal Portfolio / rank
 
Normal rank
Property / cites work
 
Property / cites work: The random utility model with an infinite choice space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Random utility systems - the infinite case / rank
 
Normal rank
Property / cites work
 
Property / cites work: Additional utility of insiders with imperfect dynamical information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility maximization in incomplete markets with random endowment / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3915688 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A complete explicit solution to the log-optimal portfolio problem. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Insider Trading in a Continuous Time Market Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: M6—On Minimal Market Models and Minimal Martingale Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Calcul stochastique et problèmes de martingales / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time reversal on Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3774629 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-martingales et grossissement d'une filtration / rank
 
Normal rank
Property / cites work
 
Property / cites work: MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH / rank
 
Normal rank
Property / cites work
 
Property / cites work: The numéraire portfolio in semimartingale financial models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Anticipative portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Utility Maximization with Discretionary Stopping / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption from investment and random endowment in incomplete semimartingale markets. / rank
 
Normal rank
Property / cites work
 
Property / cites work: UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET / rank
 
Normal rank
Property / cites work
 
Property / cites work: Insider models with finite utility in markets with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous Auctions and Insider Trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4905685 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A definition and some characteristic properties of pseudo-stopping times / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3906207 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A dual characterization of self-generation and exponential forward performances / rank
 
Normal rank

Latest revision as of 12:50, 29 July 2024

scientific article
Language Label Description Also known as
English
Log-optimal and numéraire portfolios for market models stopped at a random time
scientific article

    Statements

    Log-optimal and numéraire portfolios for market models stopped at a random time (English)
    0 references
    0 references
    0 references
    5 July 2022
    0 references
    random horizon
    0 references
    log-optimal portfolio
    0 references
    numéraire portfolio
    0 references
    deflators
    0 references
    informational risks
    0 references
    utility
    0 references
    progressive enlargement of filtration
    0 references
    asymmetric information
    0 references
    semimartingales and predictable characteristics
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers