MULTIPLICATIVE APPROXIMATION OF WEALTH PROCESSES INVOLVING NO-SHORT-SALES STRATEGIES VIA SIMPLE TRADING

DOI10.1111/j.1467-9965.2011.00511.xzbMath1275.91061arXiv0812.0033OpenAlexW2130746677MaRDI QIDQ2847245

Eckhard Platen, Constantinos Kardaras

Publication date: 4 September 2013

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.0033

zbMATH Keywords

semimartingalesutility maximizationarbitragestochastic integralsbuy-and-hold strategies

Mathematics Subject Classification ID

Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (1)

Time-consistent mean-variance portfolio selection in discrete and continuous time

Cites Work

• Unnamed Item
• A general version of the fundamental theorem of asset pricing
• On the possibility of hedging options in the presence of transaction costs
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• On the structure of general mean-variance hedging strategies
• The numéraire portfolio in semimartingale financial models

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