Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure
type: Item
instance of: scholarly article
title: Comparing the minimal Hellinger martingale measure of order \(q\) to the \(q\)-optimal martingale measure
zbMATH Open document ID: 1161.60317
author: Tahir Choulli
author: Ch. Stricker
published in: Stochastic Processes and their Applications
publication date: 2009-05-06T00:00:00Z
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 5551385
zbMATH Keywords: minimal Hellinger martingale measure
zbMATH Keywords: \(q\)-optimal martingale measure
zbMATH Keywords: incomplete market
zbMATH Keywords: utility maximization
MaRDI profile type: Publication
full work available at URL: j.spa.2008.07.002
OpenAlex ID: W2053539352
cites work: On the Existence of Minimax Martingale Measures
cites work: MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS
cites work: MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
cites work: Minimal Hellinger martingale measures of order \(q\)
cites work: A general version of the fundamental theorem of asset pricing
cites work: The mathematics of arbitrage
cites work: Q4794153
cites work: Optional decomposition and Lagrange multipliers
cites work: Q3974816
cites work: The minimal entropy martingale measure and the valuation problem in incomplete markets
cites work: The minimal entropy martingale measures for geometric Lévy processes
cites work: Minimax and minimal distance martingale measures and their relationship to portfolio optimization
cites work: On Martingale Measures for Stochastic Processes with Independent Increments
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
cites work: Horizon-unbiased utility functions
cites work: Calcul stochastique et problèmes de martingales
cites work: Q4778955
cites work: Minimal \(f^q\)-Martingale measures for exponential Lévy processes
cites work: On the optimal portfolio for the exponential utility maximization: remarks to the six-author paper
cites work: Minimal \(q\)-entropy martingale measures for exponential time-changed Lévy processes
cites work: On the minimal martingale measure and the möllmer-schweizer decomposition
cites work: Arbitrage et lois de martingale. (Arbitrage and martingale laws)
cites work: Dynamic preferences, choice mechanisms, and welfare
DOI: 10.1016/J.SPA.2008.07.002
description: scientific article; zbMATH DE number 5551385