MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE (Q5472774): Difference between revisions

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+On the Existence of Minimax Martingale Measures
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+Utility maximization on the real line under proportional transaction costs
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+MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
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+Introduction to a theory of value coherent with the no-arbitrage principle
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+The minimal entropy martingale measures for geometric Lévy processes
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+Minimax and minimal distance martingale measures and their relationship to portfolio optimization
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+On Martingale Measures for Stochastic Processes with Independent Increments
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+On the minimal entropy martingale measure.
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+On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
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+A utility maximization approach to hedging in incomplete markets
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+Derivative pricing based on local utility maximization
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+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+On the Asymptotic Behavior of Probabilities of Type I and Type II Errors in the Neyman–Pearson Test. (Case of Total Asymptotically Distinguishable Hypotheses)
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Convex Analysis
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+Approximation pricing and the variance-optimal martingale measure
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+A minimality property of the minimal martingale measure
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