Minimal Entropy Martingale Measure

By Martin Schweizer. 2010

70 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/7217564c5762f96530cfca8db99692a087a7c0b1

How researchers see this paper

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In Economics and Econometrics

1. Monique Jeanblanc
2. Yoshio Miyahara

In Finance

1. Susanne Kloppel
2. Monique Jeanblanc
3. Yoshio Miyahara
4. St'ephane Cr'epey
5. Tomasz R. Bielecki

In Management Science and Operations Research

1. Monique Jeanblanc

Citations in the corpus

• On the Structure of General Mean-Variance Hedging Strategies (2007, unknown): “The first assertion is inspired by a similar statement in Grandits and Rheinläender [21], Lemma 2.1 for continuous processes.”
• Portfolios and risk premia for the long run. (2012, unknown): “Exponential utility leads to the minimal-entropy measure Grandits and Rheinländer (2002), Frittelli (2000), Rheinländer (2005).”
• MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES (2007, background): “Convergence of Qq to Pe for q ց 1 was studied for continuous processes by Grandits and Rheinländer in [11], but an extension to processes which also have a jump part seems to be missing.”