Log-optimal and numéraire portfolios for market models stopped at a random time
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Publication:2153525
DOI10.1007/s00780-022-00477-8zbMath1494.91133OpenAlexW4229007690MaRDI QIDQ2153525
Publication date: 5 July 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-022-00477-8
utilityasymmetric informationnuméraire portfoliolog-optimal portfoliodeflatorsprogressive enlargement of filtrationrandom horizoninformational riskssemimartingales and predictable characteristics
Generalizations of martingales (60G48) Measures of information, entropy (94A17) Portfolio theory (91G10)
Related Items (3)
Explicit description of all deflators for market models under random horizon with applications to NFLVR ⋮ Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality ⋮ Representation for martingales living after a random time with applications
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