摘要翻译:
本文提供了Di Nunno等人条件的新版本。(2003),Ankirchner和Imkeller(2005)和Biagini和ksendal(2005)证明了一类连续随机过程的半鞅性质。与我们的前人不同,我们的建模框架建立在投资组合比例的概念上,它给出了主要定理的一个简短的独立证明,以及一个反例,表明我们的结果的类似物在不连续的环境中不成立。
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英文标题:
《On the semimartingale property via bounded logarithmic utility》
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作者:
Kasper Larsen, Gordan Zitkovic
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最新提交年份:
2007
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:Portfolio Management 项目组合管理
分类描述:Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类:Mathematics 数学
二级分类:Probability 概率
分类描述:Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用:例如中心极限定理,大偏差,随机微分方程,统计力学模型,排队论
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一级分类:Quantitative Finance 数量金融学
二级分类:Pricing of Securities 证券定价
分类描述:Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要:
This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes. Unlike our predecessors, we base our modeling framework on the concept of portfolio proportions which yields a short self-contained proof of the main theorem, as well as a counterexample, showing that analogues of our results do not hold in the discontinuous setting.
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PDF链接:
https://arxiv.org/pdf/0706.0468