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Minimal Hellinger martingale measures of order q

  • Tahir Choulli

    ()

  • Christophe Stricker

    ()

  • Jia Li
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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s00780-007-0039-3
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    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
    Contact details of provider: Web page: http://www.springerlink.com/content/101164/

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    1. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer, vol. 27(2), pages 153-166, December.
    2. Napp, Clotilde & Jouini, Elyès, 2004. "Conditional Comonotonicity," Economics Papers from University Paris Dauphine 123456789/344, Paris Dauphine University.
    3. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
    4. Cochrane, John H. & Campbell, John, 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
    5. 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.
    6. 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.
    7. David A. Chapman, 1998. "Habit Formation and Aggregate Consumption," Econometrica, Econometric Society, vol. 66(5), pages 1223-1230, September.
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