科研之友
微信
新浪微博
Facebook
分享链接
摘要
In the context of expected utility maximization for utilities defined on the whole real line, we define a new class of admissible strategies in terms of dynamic bounds on losses under the historical measure P. More precisely, the loss control is given by a P-martingale which is compatible with the preferences of the investor. The main result is the Ansel-Stricker-type Lemma 3.3 which shows that the admissible strategies are supermartingales under all sigma-martingale measures Q with finite relative entropy, therefore, allowing for a duality theory for the optimization problem.
- 出版日期2012
