Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10011686844
Persistent link: https://www.econbiz.de/10003833105
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...
Persistent link: https://www.econbiz.de/10012923909