Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality
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Publication:5097173
DOI10.1137/S0040585X97T990897zbMath1502.91053arXiv1807.06449MaRDI QIDQ5097173
Publication date: 22 August 2022
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.06449
numéraire portfoliolog-utilitylog-optimal portfoliodeflatorNFLVR conditionNUPBR conditionsemimartingale model and characteristics
Related Items (3)
Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ Representation for martingales living after a random time with applications ⋮ The value of informational arbitrage
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