Value Preserving Portfolio Strategies and the Minimal Martingale Measure

Mathematical Methods of Operations Research

Volumn 47, Issue 2, 1998, Pages 169-179

  Korn, Ralf ^a  

^a JOHANNES GUTENBERG UNIVERSITY   (Germany)

Author keywords

Continuous prices; Minimal martingale measure; Portfolio optimisation; Value preservation

Indexed keywords

EID: 0040157602     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF01194396     Document Type: Article

References (8)

1. Föllmer H, Sondermann D (1986) Hedging of non-redundant contingent claims, in: Hildenbrand W, Mas-Colell A (eds.) Contributions to Mathematical Economics, in Honour of Gérard Debreu, North-Holland, Amsterdam
2. Föllmer H, Schweizer M (1990) Hedging of contingent claims under incomplete information. In: Davis MHA, Elliot RJ (eds.) Applied stochastic analysis. Gordon and Breach, London
3. Hellwig K (1987) Bewertung von Ressourcen. Physica Verlag, Heidelberg
4. Hellwig K. (1993) Interteraporal choice reexamined. Discussion Papers in Economics, University of Ulm
5. Korn R (1997) Value preserving portfolio strategies in continuous-time models. MMOR 45(1):1-43
6. Protter P (1992) Stochastic integrals and differential equations. Springer, Berlin
7. Schweizer M (1995) On the minimal martingale measure and the Föllmer-Schweizer decomposition. Stoch. Anal. Appl. 13:573-599
8. Wiesemann T (1995) Wertorientiertes Portfoliomanagement: Ein Modell zur intertemporalen Portfoliowerterhaltung. Doctoral Dissertation, University of Ulm