最优增长投资组合与等价鞅测度之间的关系
On the Relationship of Optimal Growth Portfolio and Martingale Measure
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摘要: 本文研究了当基本价格过程为一类连续半鞅过程时log最优的自融资投资组合的财富过程与等价鞅测度之间的对应关系.结果显示在连续过程框架下,最小鞅测度就是相对熵最小的等价鞅测度.Abstract: In this paper, a relationship between the optimal growth portfolio and a martingale measure is studied when the underlying asset price processes are modeled by some continuous special semimartingale. It is shown that in this case, the Minimal Martingale Measure also owns minimal relative entropy with respect to P.