Optional decompositions under constraints
Abstract
Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for all equivalent martingale measures. We investigate the general structure of such optional decompositions, both in additive and in multiplicative form, and under constraints corresponding to di_erent classes of equivalent measures. As an application, we extend results of Karatzas and Cvitanic [3] on hedging problems with constrained portfolios. --Download Info
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Paper provided by Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes in its series SFB 373 Discussion Papers with number 1997,31.Length:
Date of creation: 1997
Date of revision:
Handle: RePEc:zbw:sfb373:199731
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Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Westray, Nicholas & Zheng, Harry, 2009. "Constrained nonsmooth utility maximization without quadratic inf convolution," Stochastic Processes and their Applications, Elsevier, vol. 119(5), pages 1561-1579, May.
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- Bion-Nadal, Jocelyne, 2009. "Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk," Journal of Mathematical Economics, Elsevier, vol. 45(11), pages 738-750, December.
- Kardaras, Constantinos, 2012. "On the closure in the Emery topology of semimartingale wealth-process sets," Open Access publications from London School of Economics and Political Science http://eprints.lse.ac.uk/, London School of Economics and Political Science.
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- Constantinos Kardaras & Eckhard Platen, 2008. "On Financial Markets where only Buy-And-Hold Trading is Possible," Research Paper Series 213, Quantitative Finance Research Centre, University of Technology, Sydney.
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