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Minimal Hellinger martingale measures of order q

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Author Info
Tahir Choulli ()
Christophe Stricker ()
Jia Li
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File URL: http://hdl.handle.net/10.1007/s00780-007-0039-3
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Publisher 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 listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer, vol. 27(2), pages 153-166, December. [Downloadable!] (restricted)
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  2. 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. [Downloadable!] (restricted)
  3. 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. [Downloadable!] (restricted)
  4. David A. Chapman, 1998. "Habit Formation and Aggregate Consumption," Econometrica, Econometric Society, vol. 66(5), pages 1223-1230, September.
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Gordan Zitkovic, 2008. "A dual characterization of self-generation and exponential forward performances," Quantitative Finance Papers 0809.0739, arXiv.org, revised Nov 2009. [Downloadable!]
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