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Minimal Hellinger martingale measures of order q

Author

Listed:
  • Tahir Choulli

    ()

  • Christophe Stricker

    ()

  • Jia Li

Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:spr:finsto:v:11:y:2007:i:3:p:399-427
    DOI: 10.1007/s00780-007-0039-3
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    References listed on IDEAS

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    1. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 27(2), pages 153-166, December.
    2. Detemple, Jerome B & Zapatero, Fernando, 1991. "Asset Prices in an Exchange Economy with Habit Formation," Econometrica, Econometric Society, vol. 59(6), pages 1633-1657, November.
    3. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
    4. Goll, Thomas & Kallsen, Jan, 2000. "Optimal portfolios for logarithmic utility," Stochastic Processes and their Applications, Elsevier, vol. 89(1), pages 31-48, September.
    5. repec:dau:papers:123456789/344 is not listed on IDEAS
    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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    Citations

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

    1. Tahir CHOULLI & Martin SCHWEIZER, 2015. "Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales," Swiss Finance Institute Research Paper Series 15-15, Swiss Finance Institute.
    2. N. El Karoui & Mohamed M'Rad, 2010. "Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows," Working Papers hal-00477380, HAL.
    3. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2015. "Non-Arbitrage Under Additional Information for Thin Semimartingale Models," Papers 1505.00997, arXiv.org.
    4. repec:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0337-3 is not listed on IDEAS
    5. Choulli, Tahir & Stricker, Christophe, 2009. "Comparing the minimal Hellinger martingale measure of order q to the q-optimal martingale measure," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1368-1385, April.
    6. S. Cawston & L. Vostrikova, 2010. "$F$-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point," Papers 1004.3525, arXiv.org, revised Jun 2011.
    7. N. El Karoui & Mohamed M'Rad, 2010. "Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows," Papers 1004.5192, arXiv.org, revised Apr 2013.
    8. Sigrid Kallblad & Jan Obloj & Thaleia Zariphopoulou, 2013. "Time--consistent investment under model uncertainty: the robust forward criteria," Papers 1311.3529, arXiv.org, revised Nov 2014.
    9. Hubalek, Friedrich & Sgarra, Carlo, 2009. "On the Esscher transforms and other equivalent martingale measures for Barndorff-Nielsen and Shephard stochastic volatility models with jumps," Stochastic Processes and their Applications, Elsevier, vol. 119(7), pages 2137-2157, July.
    10. Michail Anthropelos, 2011. "Forward Exponential Performances: Pricing and Optimal Risk Sharing," Papers 1109.3908, arXiv.org, revised Mar 2013.
    11. Anna Aksamit & Tahir Choulli & Jun Deng & Monique Jeanblanc, 2013. "Non-Arbitrage up to Random Horizon for Semimartingale Models," Papers 1310.1142, arXiv.org, revised Feb 2014.
    12. Alghalith, Moawia, 2012. "Forward dynamic utility functions: A new model and new results," European Journal of Operational Research, Elsevier, vol. 223(3), pages 842-845.
    13. Gordan v{Z}itkovi'c, 2008. "A dual characterization of self-generation and exponential forward performances," Papers 0809.0739, arXiv.org, revised Dec 2009.
    14. 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.
    15. Choulli, Tahir & Vandaele, Nele & Vanmaele, Michèle, 2010. "The Föllmer-Schweizer decomposition: Comparison and description," Stochastic Processes and their Applications, Elsevier, vol. 120(6), pages 853-872, June.
    16. Tahir Choulli & Junfeng Ma, 2013. "Explicit Description of HARA Forward Utilities and Their Optimal Portfolios," Papers 1307.0785, arXiv.org.

    More about this item

    Keywords

    Minimal Hellinger martingale measure; Utility maximization; Minimal martingale measure; G10; 91B28; 60G42;

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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