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- Titel:
A Counterexample Concerning the Variance-Optimal Martingale Measure
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Cerny, A.; Kallsen, J.
- Nicht-TUM Koautoren:
- ja
- Kooperation:
- international
- Abstract:
- The present note addresses an open question concerning a sufficient characterization of the variance-optimal martingale measure. Denote by S the discounted price process of an asset and suppose that Q* is an equivalent martingale measure whose density is a multiple of 1 - φ · S(T) for some S-integrable process φ. We show that Q* does not necessarily coincide with the variance-optimal martingale measure, not even if φ · S is a uniformly integrable Q*-martingale.
- Intellectual Contribution:
- Discipline-based Research
- Zeitschriftentitel:
- Mathematical Finance
- Jahr:
- 2008
- Band / Volume:
- 18
- Heft / Issue:
- 2
- Seitenangaben Beitrag:
- 305-316
- Sprache:
- en
- Key publication:
- Nein
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- commissioned:
- not commissioned
- Professional Journal:
- Nein
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