Autore: Santacroce, Marina
Titolo: Semimartingale backward equation for the p-optimal martingale measure: some extreme cases.
Periodico: Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2002 - Volume: 02 - Fascicolo: 41 - Pagina iniziale: 1 - Pagina finale: 17

We consider an incomplete financial market in which the dynamics of the assets prices is driven by a d-dimensional continuous semimartingale X. After giving a description of the p-optimal martingale measure in terms of the value process of the related optimization problem, expressed as the unique solution of a semimartingale backward equation, we examine two extreme cases. In particular, we find a necessary and sufficient condition, expressed in terms of the mean variance tradeoff, for the p-optimal to coincide with the minimal martingale measure. Moreover, if and only if an exponential function of the mean variance tradeoff is a martingale strongly orthogonal to the asset price process, the p-optimal martingale measure can be expressed in terms of a Doleans-Dade exponential involving X.


Premi sulle icone a fianco dei nomi per visualizzare i libri scritti dall'autore

---

---

Esportazione dati in Refworks (solo per utenti abilitati)