A Girsanov transformed Clark-Ocone-Haussmann type formula for \(L^1\)-pure jump additive processes and its application to portfolio optimization

DOI10.1007/S10436-024-00453-6MaRDI QIDQ6630706

Masahiro Handa, Ryoichi Suzuki, Noriyoshi Sakuma

Publication date: 31 October 2024

Published in: Annals of Finance (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationadditive processeslocal risk minimizationClark-Ocone-Haussmann formulaMalliavin-Skorohod calculusCameron-Martin-Maruyama-Girsanov theorem

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Jump processes on discrete state spaces (60J74)

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