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

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+No-arbitrage up to random horizon for quasi-left-continuous models
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+No-arbitrage under additional information for thin semimartingale models
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+On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
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+Additional logarithmic utility of an insider
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+The Shannon information of filtrations and the additional logarithmic utility of insiders
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+Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
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+The numeraire portfolio for unbounded semimartingale
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+Q3870094
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+A martingale representation theorem and valuation of defaultable securities
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+No-arbitrage for informational discrete time market models
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+How non-arbitrage, viability and numéraire portfolio are related
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+Explicit Description of HARA Forward Utilities and Their Optimal Portfolios
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+MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
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+MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
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+Minimal Hellinger martingale measures of order \(q\)
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+Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality
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+No Arbitrage and the Growth Optimal Portfolio
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+The random utility model with an infinite choice space
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+Random utility systems - the infinite case
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+Additional utility of insiders with imperfect dynamical information
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+Utility maximization in incomplete markets with random endowment
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+Q3915688
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+A complete explicit solution to the log-optimal portfolio problem.
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+Insider Trading in a Continuous Time Market Model
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+Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
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+M6—On Minimal Market Models and Minimal Martingale Measures
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+Calcul stochastique et problèmes de martingales
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+Time reversal on Lévy processes
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+Q3774629
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+Semi-martingales et grossissement d'une filtration
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+MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
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+The numéraire portfolio in semimartingale financial models
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+Anticipative portfolio optimization
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+Utility Maximization with Discretionary Stopping
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+Optimal consumption from investment and random endowment in incomplete semimartingale markets.
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+UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
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+Insider models with finite utility in markets with jumps
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Continuous Auctions and Insider Trading
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+Optimum consumption and portfolio rules in a continuous-time model
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+Q4905685
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+A definition and some characteristic properties of pseudo-stopping times
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+Q3906207
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+A dual characterization of self-generation and exponential forward performances
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