Convergence in the Semimartingale Topology andConstrained Portfolios
Year of publication: |
2009-12-01
|
---|---|
Authors: | Czichowsky, Christoph ; Westray, Nicholas ; Zheng, Harry |
Institutions: | Finrisk |
Subject: | Portfoliomanagement | portfolio management | Konvergenz | Semimartingal |
- 1 Introduction
- 2 Motivating Examples
- 3 Main Results
- 4 Applications
- 4.1 Optional Decomposition Under Constraints
- 4.2 Utility Maximization
- 5 Measurable Selection
- 5.1 Stochastic Processes
- 5.2 Separation Theorems
- 5.3 Measurable Selection
- 6 Proof of Theorem 3.5
- References
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Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM
Leitner, Johannes, (2001)
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Asymptotic theory of transaction costs
Schachermayer, Walter, (2017)
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Schneider, Jennifer, (2013)
- More ...
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Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
Westray, Nicholas, (2011)
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Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
Westray, Nicholas, (2011)
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Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization
Westray, Nicholas, (2011)
- More ...