Log-optimal and numéraire portfolios for market models stopped at a random time (Q2153525)
From MaRDI portal
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
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
