From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 11 (2004)
Issue (Month): 4 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Exponential utility; geometric Lévy process; (local) martingale measure; separating measure; minimal entropy martingale measure; optimal strategy;
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- Yuri M. Kabanov & Christophe Stricker, 2002. "On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 125-134.
- Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
- Thomas Goll & Ludger Rüschendorf, 2001. "Minimax and minimal distance martingale measures and their relationship to portfolio optimization," Finance and Stochastics, Springer, vol. 5(4), pages 557-581.
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