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      MINIMAL ENTROPY-HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS

      Author(s): ,
      Publication date Created:
      Publication date (Print):
      Journal: Mathematical Finance
      Publisher: Wiley-Blackwell

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          Martingales and arbitrage in multiperiod securities markets

          J.Michael Harrison, David Kreps (1979)
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            Martingales and stochastic integrals in the theory of continuous trading

            J.Michael Harrison, Stanley Pliska (1981)
            Article 0 comments Cited 235 times – based on 0 reviews     Review now
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              The asymptotic elasticity of utility functions and optimal investment in incomplete markets

              D. Kramkov, W. Schachermayer (1999)
              Article 0 comments Cited 145 times – based on 0 reviews     Review now
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                Author and article information

                Journal
                Title: Mathematical Finance
                Abbreviated Title: Mathematical Finance
                Publisher: Wiley-Blackwell
                ISSN (Print): 0960-1627
                ISSN (Electronic): 1467-9965
                Publication date Created: July 2005
                Publication date (Print): July 2005
                Volume: 15
                Issue: 3
                Pages: 465-490
                Article
                DOI: 10.1111/j.1467-9965.2005.00229.x
                SO-VID: 80b4fa82-db62-45c4-a540-1273a08b3e79
                Copyright © © 2005
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                http://doi.wiley.com/10.1002/tdm_license_1.1

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