OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES

Johannes Leitner

Mathematical Finance, 2008, vol. 18, issue 2, 317-331

Abstract: We optimize the ratio over an (arbitrage‐free) linear sub‐space of attainable returns in an incomplete market model. If a solution exists for 1

Date: 2008
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