This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Minimax and minimal distance martingale measures and their relationship to portfolio optimization

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Thomas Goll () (Institut für Mathematische Stochastik, Universität Freiburg i. Br., Eckerstraße 1, 79104 Freiburg i. Br., Germany Manuscript)
Ludger Rüschendorf () (Institut für Mathematische Stochastik, Universität Freiburg i. Br., Eckerstraße 1, 79104 Freiburg i. Br., Germany Manuscript)
Abstract

In this paper we give a characterization of minimal distance martingale measures with respect to f-divergence distances in a general semimartingale market model. We provide necessary and sufficient conditions for minimal distance martingale measures and determine them explicitly for exponential Lévy processes with respect to several classical distances. It is shown that the minimal distance martingale measures are equivalent to minimax martingale measures with respect to related utility functions and that optimal portfolios can be characterized by them. Related results in the context of continuous-time diffusion models were first obtained by He and Pearson (1991b) and Karatzas et al. (1991) and in a general semimartingale setting by Kramkov and Schachermayer (1999). Finally parts of the results are extended to utility-based hedging.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://link.springer.de/link/service/journals/00780/papers/1005004/10050557.pdf
File Format: application/pdf
File Function:
Download Restriction: Access to the full text of the articles in this series is restricted

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 5 (2001)
Issue (Month): 4 ()
Pages: 557-581
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:spr:finsto:v:5:y:2001:i:4:p:557-581

Note: received: January 2000; final version received: February 2001
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/

Order Information:
Web: http://link.springer.de/orders.htm

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

Related research
Keywords:

Other versions of this item:

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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. Alexander Schied & Ching-Tang Wu, 2005. "Duality theory for optimal investments under model uncertainty," SFB 649 Discussion Papers SFB649DP2005-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany, revised Sep 2005. [Downloadable!]
  2. Mingxin Xu, 2006. "Risk measure pricing and hedging in incomplete markets," Annals of Finance, Springer, vol. 2(1), pages 51-71, January. [Downloadable!] (restricted)
    Other versions:
  3. Grzegorz Hara\'nczyk & Wojciech S{\l}omczy\'nski & Tomasz Zastawniak, 2007. "Relative and Discrete Utility Maximising Entropy," Quantitative Finance Papers 0709.1281, arXiv.org. [Downloadable!]
  4. Tsukasa Fujiwara, 2004. "From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes," Asia-Pacific Financial Markets, Springer, vol. 11(4), pages 367-391, December. [Downloadable!] (restricted)
  5. Tahir Choulli & Christophe Stricker & Jia Li, 2007. "Minimal Hellinger martingale measures of order q," Finance and Stochastics, Springer, vol. 11(3), pages 399-427, July. [Downloadable!] (restricted)
  6. Ioannis Karatzas & Constantinos Kardaras, 2008. "The numeraire portfolio in semimartingale financial models," Quantitative Finance Papers 0803.1877, arXiv.org. [Downloadable!]
  7. Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October. [Downloadable!] (restricted)
  8. Antonis Papapantoleon, 2008. "An introduction to L\'{e}vy processes with applications in finance," Quantitative Finance Papers 0804.0482, arXiv.org, revised Nov 2008. [Downloadable!]
  9. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April. [Downloadable!] (restricted)
Statistics
Access and download statistics

Did you know? You can create your own reading lists on IDEAS.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.