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On the semimartingale property via bounded logarithmic utility

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  • Kasper Larsen

    ()

  • Gordan Žitković

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s10436-006-0067-6
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    Bibliographic Info

    Article provided by Springer in its journal Annals of Finance.

    Volume (Year): 4 (2008)
    Issue (Month): 2 (March)
    Pages: 255-268

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    Handle: RePEc:kap:annfin:v:4:y:2008:i:2:p:255-268

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    Web page: http://www.springerlink.com/link.asp?id=112370

    Related research

    Keywords: Arbitrage; Enlargement of filtrations; Financial markets; Logarithmic utility; Semimartingales; Stochastic processes; Utility maximization; C61; G11;

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    1. Giulia Di Nunno & Thilo Meyer-Brandis & Bernt �ksendal & Frank Proske, 2006. "Optimal portfolio for an insider in a market driven by Levy processes," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 83-94.
    2. Tomas Björk & Henrik Hult, 2005. "A note on Wick products and the fractional Black-Scholes model," Finance and Stochastics, Springer, vol. 9(2), pages 197-209, 04.
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    Cited by:
    1. Kardaras, Constantinos & Platen, Eckhard, 2011. "On the semimartingale property of discounted asset-price processes," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2678-2691, November.

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