Minimal Hellinger martingale measures of order q

DOI10.1007/S00780-007-0039-3MaRDI QIDQ1003340zbMATH OpenOpenAlexFDO

Authors Tahir Choulli, Ch. Stricker, J. Li

Publication date 28 February 2009

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-007-0039-3

zbMATH Keywords

utility maximizationexpected power utilityminimal Hellinger martingale measuresemimartingale framework

Mathematics Subject Classification ID

Large deviations (60F10) Extreme value theory; extremal stochastic processes (60G70) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

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• Martingale laws, densities and decomposition of Föllmer-Schweizer
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• Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
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• Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
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• The asymptotic elasticity of utility functions and optimal investment in incomplete markets

Cited in

(31)

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• An \(f\)-divergence approach for optimal portfolios in exponential Lévy models
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• Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
• Dynamically consistent investment under model uncertainty: the robust forward criteria
• Mixture of consistent stochastic utilities and \textit{a priori} randomness
• On \(q\)-optimal martingale measures in exponential Lévy models
• Three essays on exponential hedging with variable exit times
• Log-optimal and numéraire portfolios for market models stopped at a random time
• Mean variance hedging in a general jump market
• Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
• On the semimartingale property of discounted asset-price processes
• Forward dynamic utility functions: a new model and new results
• The role of Hellinger processes in mathematical finance
• Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure
• Minimal \(f^q\)-Martingale measures for exponential Lévy processes
• Portfolio choice under dynamic investment performance criteria
• Explicit description of all deflators for market models under random horizon with applications to NFLVR
• The Föllmer-Schweizer decomposition: comparison and description
• Horizon-unbiased investment with ambiguity
• No-arbitrage up to random horizon for quasi-left-continuous models
• Duesenberry equilibrium and heterogenous agents
• Explicit description of HARA forward utilities and their optimal portfolios
• A dual characterization of self-generation and exponential forward performances
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
• Dynamic utility and related nonlinear SPDEs driven by Lévy noise
• No-arbitrage under additional information for thin semimartingale models
• Mean Variance Hedging in a General Jump Model
• Optimal investment and consumption with forward preferences and uncertain parameters

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