Portfolio optimization and martingale measures

DOI10.1111/1467-9965.00095MaRDI QIDQ2707151zbMATH OpenOpenAlexFDO

Authors Manfred Schäl

Publication date 29 March 2001

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9965.00095

zbMATH Keywords

dynamic programmingfinancial marketmartingale measurerisk aversion

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Review text

The author studies connections between risk aversion and martingale measure in a discrete-time incomplete financial market. A number of financial market models are developed and the models are validated with theorems and lemmas. No numerical experiments are performed.

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• On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
• On utility maximization in discrete-time financial market models
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
• Markov perfect equilibria in stochastic growth models with quasi-hyperbolic discounting and risk-sensitive preferences
• Convergence of utility indifference prices to the superreplication price
• Convergence of utility indifference prices to the superreplication price: the whole real line case

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