Generalizing a result by Cox and Leland (2000) and Vanduffel et al. (2008), this note shows that risk-averse investors with fixed planning horizon prefer path-independent payoffs in any financial market if the pricing kernel is a function of the underlying's price at the end of the planning...

In a multidimensional exponential Leacute;vy setting, we consider equivalent martingale measures minimizing generalized relative entropy. A family of generalized entropies corresponding to all q-optimal martingale measures is investigated in a unified way. Restricting the jump sizes of the...

We show how to improve payoffs such that any portfolio composed of contracts with the improved payoffs is more attractive than the corresponding portfolio with the original payoffs.Starting from an axiomatic characterisation, we derive an amelioration operator that yields payoffs attractive to...