On the semimartingale property via bounded logarithmic utility
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References listed on IDEAS
- Tomas Björk & Henrik Hult, 2005. "A note on Wick products and the fractional Black-Scholes model," Finance and Stochastics, Springer, vol. 9(2), pages 197-209, April.
- Giulia Di Nunno & Thilo Meyer-Brandis & Bernt Øksendal & Frank Proske, 2006. "Optimal portfolio for an insider in a market driven by Levy processes," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 83-94.
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- Christoph Czichowsky & Walter Schachermayer, 2015. "Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion," Papers 1505.02416, arXiv.org, revised Aug 2016.
- Kardaras, Constantinos & Platen, Eckhard, 2011.
"On the semimartingale property of discounted asset-price processes,"
Stochastic Processes and their Applications,
Elsevier, vol. 121(11), pages 2678-2691, November.
- Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Papers 0803.1890, arXiv.org, revised Nov 2009.
- Christoph Czichowsky & R'emi Peyre & Walter Schachermayer & Junjian Yang, 2016. "Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs," Papers 1608.01415, arXiv.org.
More about this item
KeywordsArbitrage; Enlargement of filtrations; Financial markets; Logarithmic utility; Semimartingales; Stochastic processes; Utility maximization; C61; G11;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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