European claim. This allows pricing and hedging under the minimal martingale measure, corresponding to the local risk …-minimizing strategy. Furthermore, since the mean-variance tradeoff process is deterministic in our setup, the minimal martingale- and … variance-optimal martingale measures coincide. Consequently, the mean-variance optimal strategy is easily constructed. Simple …

In arbitrage-free but incomplete markets, the equivalent martingale measure Q for pricing traded assets is not uniquely … determine the minimal entropy martingale measure in a market where securities are traded with payoffs depending on two types of …