Search Results - subject:"Relative entropy"

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

Li, Ping; Xia, Jianming; Yan, Jia-an - In: Annals of Economics and Finance 2 (2001) 2, pp. 445-465

relative entropy martingale measures and minimum Hellinger-Kakutani distance martingale measures. …

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

ROBUST DYNAMIC PRICING OVER INFINITE HORIZON IN THE PRESENCE OF MODEL UNCERTAINTY

LI, GENDAO; XIONG, YU; XIONG, ZHONGKAI - In: Asia-Pacific Journal of Operational Research (APJOR) 26 (2009) 06, pp. 779-804

represented by a notion of generalized relative entropy process, and the robust pricing problem is formulated as a two-player zero …

Persistent link: https://www.econbiz.de/10008487392

Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process

Yan, Jia-an; Zhang, Qiang; Zhang, Shuguang - In: Annals of Economics and Finance 1 (2000) 1, pp. 101-116

It is shown that in a market modeled by a vector-valued semimartingale, when we choose the wealth process of an admissible self-financing strategy as a numeraire such that the historical probability measure becomes a martingale measure, then this numeraire must be the wealth process of a growth...

Persistent link: https://www.econbiz.de/10009131599

Evaluation theories of the income dynamics: A probabilistic approach

Aebi, Robert; Neusser, Klaus; Steiner, Peter - 1999

hypotheses in a statistical sense. The test is based on the relative entropy and is equivalent to a likelihood ratio test. We …

Persistent link: https://www.econbiz.de/10010291915

Evaluating Theories of the Income Dynamics: A Probabilistic Approach

Aebi, Robert; Neusser, Klaus; Steiner, Peter - Department of Economics and Finance Research and … - 1999

hypotheses in a statistical sense. The test is based on the relative entropy and is equivalent to a likelihood ratio test. We …

Persistent link: https://www.econbiz.de/10005572021

Asymptotic arbitrage and numéraire portfolios in large financial markets

Rokhlin, Dmitry - In: Finance and Stochastics 12 (2008) 2, pp. 173-194

Persistent link: https://www.econbiz.de/10005390656

Additional logarithmic utility of an insider

Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin - 1998

expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the …

Persistent link: https://www.econbiz.de/10010309914

A minimality property of the minimal martingale measure

Schweizer, Martin - 1998

-martingale part of X are also local P-martingales. We prove that if P exists, it minimizes the reverse relative entropy H(P …

Persistent link: https://www.econbiz.de/10010309917

Additional logarithmic utility of an insider

Amendinger, Jürgen; Imkeller, Peter; Schweizer, Martin - Sonderforschungsbereich 373, Quantifikation und … - 1998

expected logarithmic utility in terms of a relative entropy. This allows us to provide simple conditions on G for the …

Persistent link: https://www.econbiz.de/10010983797

A minimality property of the minimal martingale measure

Schweizer, Martin - Sonderforschungsbereich 373, Quantifikation und … - 1998

-martingale part of X are also local P-martingales. We prove that if P exists, it minimizes the reverse relative entropy H(P|Q) over …

Persistent link: https://www.econbiz.de/10010956437