67
Views
2
CrossRef citations to date
0
Altmetric
Original Article

The exp-UIV for Markets with Partial Information and Complete Information

Pages 851-875 | Received 06 Apr 2012, Accepted 11 Apr 2012, Published online: 02 Sep 2014

References

  • Amendinger, J., Becherer, D., Schweizer, M. 2003. A monetary value for initial information in portfolio optimization. Finance and Stochastics 7(1):29–46.
  • Amendinger, J., Imkeller, P., Schweizer, M. 1998. Additional logarithmic utility of an insider. Stochastic Processes and Their Applications 75(2):263–286.
  • Ankirchner, S., Dereich, S., Imkeller, P. 2006. The Shannon information of filtrations and the additional logarithmic utility of insiders. Annals of Probability 34(2):743–778.
  • Brémaud, P., Yor, M. 1978. Changes of filtrations and of probability measures. Z. Wahrscheinlichkeitstheorie verw. Gebiete 45:269–295.
  • Delbaen, F., Grandits, P., Rheinläder, T., Samperi, D., Schweizer, M., Stricker, C. 2002. Exponential hedging and entropic penalties. Mathematical Finance 99–123.
  • Frittelli, M. 2000. The minimal entropy martingale measure and the valuation problem in incomplete markets. Mathematical Finance 10:39–52.
  • Fujiwara, T., Miyahara, Y. 2003. The minimal entropy martingale measures for geometric Levy processes. Finance and Stochastics 7:509–531.
  • Jacod, J. 1979. Calcul Stochastique et Problèmes de Martingales. Lecture Notes in Methematics, 714. Springer, Berlin.
  • Jacod, J., and Shiryaev, A.N. 2003. Limit Theorems for Stochastic Processes. Springer, Berlin.
  • Kohlmann, M., Xiong, D. 2008. The minimal entropy and the convergence of the p-optimal martingale measures in a general jump model. Stochastic Analysis and Applications 26:941–977.
  • Lakner, P. 1995. Utility maximization with partial information. Stochastic Processes and Their Applications 56:247–273.
  • Lakner, P. 1998. Optimal trading strategy for an investor: The case of partial information. Stochastic Processes and Their Applications 76:77–97.
  • Mania, M., Santacroce, M., Tevzadze, R. 2003. A semimartingale BSDE related to the minimal entropy martingale measure. Finance and Stochastics 7:385–402.
  • Mania, M., Schweizer, M. 2005. Dynamic exponential utility indifference valuation. Annals of Applied Probability 15:2113–2143.
  • Musiela, M., Zariphopoulou, T. 2004. An example of indifference pricing under exponential preferences. Finance and Stochastics 8:229–239.
  • Xiong, D., Kohlmann, M. 2011. Optimal exponential utility in a jump bond market. Stochastic Analysis and Applications 29:78–105.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.