Log-optimal and numéraire portfolios for market models stopped at a random time
Year of publication: |
2022
|
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Authors: | Choulli, Tahir ; Yansori, Sina |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 26.2022, 3, p. 535-585
|
Subject: | Asymmetric information | Deflators | Informational risks | Log-optimal portfolio | Numéraire portfolio | Progressive enlargement of filtration | Random horizon | Semimartingales and predictable characteristics | Utility | Theorie | Theory | Portfolio-Management | Portfolio selection | Asymmetrische Information | Martingal | Martingale | Stochastischer Prozess | Stochastic process |
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