IDEAS home Printed from https://ideas.repec.org/a/kap/apfinm/v11y2004i4p367-391.html
   My bibliography  Save this article

From the Minimal Entropy Martingale Measures to the Optimal Strategies for the Exponential Utility Maximization: the Case of Geometric Lévy Processes

Author

Listed:
  • Tsukasa Fujiwara

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • 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;Japanese Association of Financial Economics and Engineering, vol. 11(4), pages 367-391, December.
  • Handle: RePEc:kap:apfinm:v:11:y:2004:i:4:p:367-391
    DOI: 10.1007/s10690-006-9019-4
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10690-006-9019-4
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. 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.
    2. Marco Frittelli, 2000. "The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 39-52.
    3. Yuri M. Kabanov & Christophe Stricker, 2002. "On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper," Mathematical Finance, Wiley Blackwell, vol. 12(2), pages 125-134.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Michail Anthropelos & Michael Kupper & Antonis Papapantoleon, 2015. "An equilibrium model for spot and forward prices of commodities," Papers 1502.00674, arXiv.org, revised Jan 2017.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:11:y:2004:i:4:p:367-391. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.