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Minimal Hellinger martingale measures of order q

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  • Tahir Choulli

    ()

  • Christophe Stricker

    ()

  • Jia Li
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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-007-0039-3
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 11 (2007)
    Issue (Month): 3 (July)
    Pages: 399-427

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    Handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:399-427

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    Related research

    Keywords: Minimal Hellinger martingale measure; Utility maximization; Minimal martingale measure; G10; 91B28; 60G42;

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    References

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    1. John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
    2. David A. Chapman, 1998. "Habit Formation and Aggregate Consumption," Econometrica, Econometric Society, vol. 66(5), pages 1223-1230, September.
    3. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
    4. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-57, November.
    5. 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.
    6. Clotilde Napp & Elyès Jouini, 2005. "Conditional Comonotonicity," Post-Print halshs-00151516, HAL.
    7. Napp, Clotilde & Jouini, Elyès, 2004. "Conditional Comonotonicity," Economics Papers from University Paris Dauphine 123456789/344, Paris Dauphine University.
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    Cited by:
    1. N. El Karoui & Mohamed M'Rad, 2010. "Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows," Papers 1004.5192, arXiv.org, revised Apr 2013.
    2. Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Papers 0803.1890, arXiv.org, revised Nov 2009.
    3. Gordan \v{Z}itkovi\'c, 2008. "A dual characterization of self-generation and exponential forward performances," Papers 0809.0739, arXiv.org, revised Dec 2009.
    4. Alghalith, Moawia, 2012. "Forward dynamic utility functions: A new model and new results," European Journal of Operational Research, Elsevier, vol. 223(3), pages 842-845.
    5. Choulli, Tahir & Vandaele, Nele & Vanmaele, Michèle, 2010. "The Föllmer-Schweizer decomposition: Comparison and description," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 853-872, June.
    6. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2013. "Non-Arbitrage up to Random Horizon for Semimartingale Models," Papers 1310.1142, arXiv.org, revised Feb 2014.
    7. Hubalek, Friedrich & Sgarra, Carlo, 2009. "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2137-2157, July.
    8. Tahir Choulli & Junfeng Ma, 2013. "Explicit Description of HARA Forward Utilities and Their Optimal Portfolios," Papers 1307.0785, arXiv.org.
    9. Sigrid Kallblad & Jan Obloj & Thaleia Zariphopoulou, 2013. "Time--consistent investment under model uncertainty: the robust forward criteria," Papers 1311.3529, arXiv.org.
    10. N. El Karoui & Mohamed M'Rad, 2010. "Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows," Working Papers hal-00477380, HAL.
    11. Michail Anthropelos, 2011. "Forward Exponential Performances: Pricing and Optimal Risk Sharing," Papers 1109.3908, arXiv.org, revised Mar 2013.

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