WEI Zhenghong, ZHANG Shuguang. On the Relationship of Optimal Growth Portfolio and Martingale Measure[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(1): 14-18.
Citation:
WEI Zhenghong, ZHANG Shuguang. On the Relationship of Optimal Growth Portfolio and Martingale Measure[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(1): 14-18.
WEI Zhenghong, ZHANG Shuguang. On the Relationship of Optimal Growth Portfolio and Martingale Measure[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(1): 14-18.
Citation:
WEI Zhenghong, ZHANG Shuguang. On the Relationship of Optimal Growth Portfolio and Martingale Measure[J]. Chinese Journal of Applied Probability and Statistics, 2003, 19(1): 14-18.
On the Relationship of Optimal Growth Portfolio and Martingale Measure
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.
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