Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets

In this paper we study the expected utility maximization problem for discretetime incomplete financial markets. As shown by Xia and Yan (2000a, 2000b) in the continuous-time case, this problem can be solved by the martingale measure method. In a special discrete-time model, we explicitly work out the optimal trading strategies and the associated minimum relative entropy martingale measures and minimum Hellinger-Kakutani distance martingale measures.

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Year of publication:	2001
Authors:	Li, Ping ; Xia, Jianming ; Yan, Jia-an
Published in:	Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 2.2001, 2, 9, p. 445-465
Publisher:	China Economics and Management Academy
Subject:	Martingale measure \| Incomplete market \| Utility maximization \| Optimal trading strategy \| Relative entropy \| Hellinger-Kakutani distance

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009144916