The -Optimal Martingale Measure in Continuous Trading Models

We discuss the -Optimal Martingale Measure for ∈ (1, ∞) in continuous incomplete markets whose stock price is fluctuated by a -dimensional continuous semimartingale. In this paper, we treat two simple models. One is a model where the mean-variance trade-off process is deterministic. Another is a model where the Minimal Martingale Measure coincides with the Minimal Entropy Martingale Measure. In these models, we prove that the -Optimal Martingale Measure coincides with the Minimal Martingale Measure under some conditions