Minimal Hellinger martingale measures of order q

DOI10.1007/S00780-007-0039-3zbMATH Open1164.60035OpenAlexW1971132156MaRDI QIDQ1003340FDOQ1003340

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

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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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Cited In (31)

• An \(f\)-divergence approach for optimal portfolios in exponential Lévy models
• Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
• On the Stability of Prices of Contingent Claims in Incomplete Models Under Statistical Estimations
• 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
• Three essays on exponential hedging with variable exit times
• On \(q\)-optimal martingale measures in exponential Lévy models
• 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
• On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps
• Utility maximisation and utility indifference price for exponential semi-martingale models and HARA utilities
• Dynamic utility and related nonlinear SPDEs driven by Lévy noise
• No-arbitrage under additional information for thin semimartingale models
• Optimal investment and consumption with forward preferences and uncertain parameters
• Mean Variance Hedging in a General Jump Model
• Representation for martingales living after a random time with applications

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