Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Konstanz
Hartung-Gorre
2001
|
| Ausgabe: | 1. Aufl. |
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009621640&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Zugl.: Konstanz, Univ., Diss., 2001 |
| Umfang: | VI, 154 S. |
| ISBN: | 3896497405 |
Internformat
MARC
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| 245 | 1 | 0 | |a Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM |c Johannes Leitner |
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| 300 | |a VI, 154 S. | ||
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| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Zugl.: Konstanz, Univ., Diss., 2001 | ||
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Capital assets pricing model | |
| 650 | 4 | |a Duality theory (Mathematics) | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Finance |x Mathematical models | |
| 650 | 4 | |a Mathematical optimization | |
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Datensatz im Suchindex
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|---|---|
| adam_text |
CONTENTS
ABSTRACT
III
ZUSAMMENFASSUNG
1
INTRODUCTION
3
ACKNOWLEDGEMENTS
.
8
1
THE
GENERAL
MARKET
MODEL
9
1.1
PRELIMINARIES
.
9
1.2
SIMPLE
SELF-FINANCING
HEDGING
STRATEGIES
.
12
1.2.1
CHANGE
OF
NUMERAIRE
.
13
1.2.2
ARBITRAGE
.
14
1.3
SIMPLE
//-HEDGING
STRATEGIES
.
14
1.3.1
AUXILIARY
RESULTS
.
15
1.4
SIGNED
LOCAL
MARTINGALE
MEASURES
.
16
1.4.1
THE
LAW
OF
ONE
PRICE
.
20
1.5
UTILITY
MAXIMIZATION
.
22
1.5.1
UTILITY
FUNCTIONS
.
22
1.5.2
CONJUGATE
YOUNG
FUNCTIONS
.
26
1.5.3
OPTIMIZATION
.
28
1.5.4
OPTIMAL
PORTFOLIOS
AND
LOCAL
MARTINGALE
MEASURES
.
29
1.5.5
MEAN-VARIANCE
HEDGING
.
31
1.5.6
UTILITY
INDIFFERENCE
PRICES
.
32
1.6
MEAN-VARIANCE
EFFICIENCY
.
33
1.6.1
THE
GENERALIZED
SHARPE-RATIO
.
33
1.6.2
THE
INTERTEMPORAL
PRICE
FOR
RISK
.
38
1.6.3
MEAN-VARIANCE
EFFICIENT
HEDGING
.
40
1.6.4
THE
RISK
PREMIUM
INDIFFERENCE
PRICE
FOR
INFORMATION
.
.
40
CONTENTS
V
2
CONDITIONAL
MARKETS
45
2.1
CONDITIONAL
UTILITY
MAXIMIZATION
.
46
2.1.1
EXTENDED
CONDITIONAL
EXPECTATIONS
.
49
2.2
LJJ-INTEGRABLE
MARTINGALE
MEASURES
.
54
2.2.1
CONSISTENCY
OF
//-OPTIMAL
MARTINGALE
MEASURES
.
58
2.3
/-MARTINGALE
MEASURES
.
61
2.3.1
REVERSE
HOLDER
CONDITIONS
.
63
2.3.2
THE
STOCHASTIC
LOGARITHM
OF
Z
0
'
'
1
.
69
2.3.3
THE
/.
'
-OPTIMAL
/-MARTINGALE
MEASURE
.
71
2.3.4
EXISTENCE
OF
THE
/.
'
-OPTIMAL
/-MARTINGALE
MEASURE
.
73
2.3.5
COUNTEREXAMPLES
.
74
2.4
CONDITIONAL
MEAN-VARIANCE
EFFICIENCY
.
78
2.4.1
THE
CONDITIONAL
INTERTEMPORAL
PRICE
FOR
RISK
.
83
2.5
THE
MODIFIED
MARKET
.
84
3
SEMIMARTINGALE
MARKET
MODELS
86
3.1
SELF-FINANCING
HEDGING
STRATEGIES
.
86
3.1.1
EXPONENTIAL
HEDGING
STRATEGIES
.
90
3.2
Z[N]-MARTINGALES
.
91
3.2.1
PROPERTIES
OF
Z[N]-MARTINGALES
.
93
3.2.2
CONVERGENCE
OF
[LV]-MARTINGALES
.
96
3.2.3
DOOB
MAXIMAL
INEQUALITIES
UNDER
A
CHANGE
OF
MEASURE
.
98
3.2.4
BURKHOLDER-DAVIS-GUNDY
INEQUALITIES
.
103
3.3
//-INTEGRABLE
HEDGING
STRATEGIES
.
106
3.3.1
LIMITS
OF
SIMPLE
HEDGING
STRATEGIES
.
106
3.3.2
THE
SPACE
OF
/
'
'
-INTEGRABLE
HEDGING
STRATEGIES
.
108
3.3.3
//-OPTIMAL
HEDGING
STRATEGIES
.
110
3.4
THE
EXPONENTIAL
HEDGING
NUMERAIRE
.
112
4
CONTINUOUS
SEMIMARTINGALE
MARKETS
114
4.1
EQUIVALENT
LOCAL
MARTINGALE
MEASURES
.
114
4.2
INCREASING
UTILITY
FUNCTIONS
.
115
4.2.1
OPTIMAL
PAIRS
.
118
4.2.2
THE
OPTIMAL
LOCAL
MARTINGALE
.
121
4.3
LOCALLY
EFFICIENT
PORTFOLIOS
.
124
4.3.1
THE
INSTANTANEOUS
PRICE
FOR
RISK
.
126
4.3.2
TOTALLY
UNHEDGEABLE
INSTANTANEOUS
PRICE
FOR
RISK
.
127
4.3.3
TOTALLY
HEDGEABLE
INSTANTANEOUS
PRICE
FOR
RISK
.
130
4.4
GLOBALLY
EFFICIENT
PORTFOLIOS
.
131
4.4.1
THE
BSDE
APPROACH
.
133
4.4.2
MARKOVIAN
MARKET
MODELS
.
136
4.5
NON-DISCOUNTED
MARKETS
.
140
4.5.1
THE
PRICE
FOR
RISK
IN
A
NON-DISCOUNTED
MARKET
.
141
VI
CONCLUDING
REMARKS
BIBLIOGRAPHY
INDEX
CONTENTS
143
145
152 |
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| ctrlnum | (OCoLC)52048198 (DE-599)BVBBV014049475 |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Aufl. |
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| institution | BVB |
| isbn | 3896497405 |
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| physical | VI, 154 S. |
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| spelling | Leitner, Johannes Verfasser aut Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM Johannes Leitner 1. Aufl. Konstanz Hartung-Gorre 2001 VI, 154 S. txt rdacontent n rdamedia nc rdacarrier Zugl.: Konstanz, Univ., Diss., 2001 Mathematisches Modell Capital assets pricing model Duality theory (Mathematics) Econometrics Finance Mathematical models Mathematical optimization Semimartingales (Mathematics) Erwartungswert-Varianz-Ansatz (DE-588)4741625-7 gnd rswk-swf Semimartingal (DE-588)4180967-1 gnd rswk-swf Dualitätstheorie (DE-588)4150801-4 gnd rswk-swf Nutzenmaximierung (DE-588)4172190-1 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Hedging (DE-588)4123357-8 s Erwartungswert-Varianz-Ansatz (DE-588)4741625-7 s Nutzenmaximierung (DE-588)4172190-1 s Semimartingal (DE-588)4180967-1 s Dualitätstheorie (DE-588)4150801-4 s DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009621640&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Leitner, Johannes Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM Mathematisches Modell Capital assets pricing model Duality theory (Mathematics) Econometrics Finance Mathematical models Mathematical optimization Semimartingales (Mathematics) Erwartungswert-Varianz-Ansatz (DE-588)4741625-7 gnd Semimartingal (DE-588)4180967-1 gnd Dualitätstheorie (DE-588)4150801-4 gnd Nutzenmaximierung (DE-588)4172190-1 gnd Hedging (DE-588)4123357-8 gnd |
| subject_GND | (DE-588)4741625-7 (DE-588)4180967-1 (DE-588)4150801-4 (DE-588)4172190-1 (DE-588)4123357-8 (DE-588)4113937-9 |
| title | Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM |
| title_auth | Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM |
| title_exact_search | Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM |
| title_full | Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM Johannes Leitner |
| title_fullStr | Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM Johannes Leitner |
| title_full_unstemmed | Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM Johannes Leitner |
| title_short | Utility maximization, duality, price for risk, semimartingale representations & continuous time CAPM |
| title_sort | utility maximization duality price for risk semimartingale representations continuous time capm |
| topic | Mathematisches Modell Capital assets pricing model Duality theory (Mathematics) Econometrics Finance Mathematical models Mathematical optimization Semimartingales (Mathematics) Erwartungswert-Varianz-Ansatz (DE-588)4741625-7 gnd Semimartingal (DE-588)4180967-1 gnd Dualitätstheorie (DE-588)4150801-4 gnd Nutzenmaximierung (DE-588)4172190-1 gnd Hedging (DE-588)4123357-8 gnd |
| topic_facet | Mathematisches Modell Capital assets pricing model Duality theory (Mathematics) Econometrics Finance Mathematical models Mathematical optimization Semimartingales (Mathematics) Erwartungswert-Varianz-Ansatz Semimartingal Dualitätstheorie Nutzenmaximierung Hedging Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009621640&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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