Convergence in the Semimartingale Topology andConstrained Portfolios

Consider an Rd-valued semimartingale S and a sequence of Rd-valuedS-integrable predictable processes Hn valued in some closed convex set K C Rd,containing the origin. Suppose that the real-valued sequence Hn * S converges toX in the semimartingale topology.[...]

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Year of publication:	2009-12-01
Authors:	Czichowsky, Christoph ; Westray, Nicholas ; Zheng, Harry
Institutions:	Finrisk
Subject:	Portfoliomanagement \| portfolio management \| Konvergenz \| Semimartingal

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Table of Contents
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1 Introduction
2 Motivating Examples
3 Main Results
4 Applications
4.1 Optional Decomposition Under Constraints
4.2 Utility Maximization
5 Measurable Selection
5.1 Stochastic Processes
5.2 Separation Theorems
5.3 Measurable Selection
6 Proof of Theorem 3.5
References

Persistent link: https://www.econbiz.de/10005868834