On the Existence of Minimax Martingale Measures

By Fabio Bellini, Marco Frittelli. 2002

201 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2c87be38e9f784aead232d93a72f5b99ecee0409

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Citations in the corpus

Putting order in risk measures (2002, background): “It was also shown, in Bellini and Frittelli (2002) and in Delbaen et al.”
MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES (2007, background): “This choice can be motivated by a dual formulation of a primal utility maximization problem; see Kramkov and Schachermayer [15] and Frittelli [7].”
Lévy Processes in Finance: Inverse Problems and Dependence Modelling (2004, result): “The notion of neutral pricing measure thus coincides with the minimax measures studied in [16], [49] and other papers.”
Utility-Based Derivative Pricing in Incomplete Markets (2002, background): “…(1996)), on utility or equilibrium-type considerations (cf. Davis (1997), Karatzas and Kou (1996), Frittelli (1998), Rouge and El Karoui (2001), Bellini and Frittelli (2000), Kallsen (2001)), or on distance minimization (cf. Keller (1997), Miyahara (1996, 1999), Chan (1999), Grandits…”
ON UTILITY‐BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS (2005, unknown): “Mathematical Finance, Vol. 15, No. 2 (April 2005), 203–212”
Risk measure pricing and hedging in incomplete markets (2006, methodology): “For instance, we have seen the minimal martingale measure by Föllmer and Schweizer [22]; the minimal entropy martingale measure by Miyahara [41] and Frittelli [23]; the minimax measure by Bellini and Frittelli [6]; the minimal distance martingale measure by Goll and Rüschendorf [26]; and the Esscher”
INDIFFERENCE PRICE WITH GENERAL SEMIMARTINGALES (2009, background): “The first paper where a duality result of the type (2)-(3) appeared - obviously with no singular components - is Bellini and Frittelli [BeF02] Corollaries 2.”
Optimal investment in incomplete markets when wealth may become negative (2001, background): “The fact that, under appropriate conditions, the optimal solution to (14) is attained for an element Q̂ of e S or a S respectively was already obtained in the paper [2] of F.”
Utility maximization under a shortfall risk constraint (2008, background): “…Aumann & Perles (1965), Merton (1969), Merton (1971), Pliska (1986), Cox & Huang (1989), Cox & Huang (1991), Karatzas, Lehoczky & Shreve (1987), He & Pearson (1991), Karatzas, Lehoczky, Shreve & Xu (1991), Kramkov & Schachermayer (1999), Goll & Rüschendorf (2001), and Bellini & Frittelli (2002).”
Investment and Valuation Under Backward and Forward Dynamic Exponential Utilities in a Stochastic Factor Model (2007, background): “…portfolio choice in the traditional framework of exponential utility; see, respectively, Foellmer and Schweizer (1991), Schweizer (1995) and (1999), Bellini and Frittelli (2002) and Frittelli (2000), Rouge and El Karoui (2000), Arai (2001), Delbaen et al. (2002), Kabanov and Stricker (2002)).”
A dual characterization of self-generation and exponential forward performances (2008, background): “In the setting similar to the one employed in here—namely, incomplete semimartingale markets with utility functions defined on the whole real line—the pertinent contributions include those of Frittelli [14], Bellini and Frittelli [4], Schachermayer [36], Owen and Žitković [32] and others.”
MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE IN INCOMPLETE MARKETS (2005, unknown): “In the same direction, the minimax martingale measure is presented by Goll and Rüschendorf (2001) and Bellini and Frittelli (2002) as the martingale measure that minimizes the f -divergence “distance.””
UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS (2010, methodology): “Hence we are in the setup considered above.”
Robust projections in the class of martingale measures (2006, methodology): “Existence results for classical f - projections corresponding to certain utility functions can be found in Frittelli [17] and Bellini and Frittelli [3].”
Minimal Entropy Martingale Measure (2010, background): “The third and by far most important area of research on the MEMM is centered on its link to the exponential utility maximisation problem; see [8], [18] for a detailed exposition of this issue.”