f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-point (Q5746530)
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scientific article; zbMATH DE number 6259466
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-point |
scientific article; zbMATH DE number 6259466 |
Statements
f-Divergence Minimal Equivalent Martingale Measures and Optimal Portfolios for Exponential Lévy Models with a Change-point (English)
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19 February 2014
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\(f\)-divergence
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exponential Lévy models
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change-point
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optimal portfolio
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utility function
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convex conjugate
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enlarged filtrations
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