Necessary and sufficient conditions for the existence of the q-optimal measure
| dc.creator | Sabanis, Sotirios | |
| dc.date | 2008-08-27 | |
| dc.date.accessioned | 2026-07-07T09:58:43Z | |
| dc.date.available | 2026-07-07T09:58:43Z | |
| dc.description | This paper presents the general form and essential properties of the q-optimal measure following the approach of Delbaen and Schachermayer (1996) and proves its existence under mild conditions. Most importantly, it states a necessary and sufficient condition for a candidate measure to be the q-optimal measure in the case even of signed measures. Finally, an updated characterization of the q-optimal measure for continuous asset price processes is presented in the light of the counterexample appearing in Cerny and Kallsen (2006) concerning Hobson's (2004) approach. | |
| dc.identifier | https://arxiv.org/abs/0808.3751 | |
| dc.identifier | http://arxiv.org/abs/0808.3751 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/167817 | |
| dc.subject | Probability | |
| dc.title | Necessary and sufficient conditions for the existence of the q-optimal measure | |
| dc.type | text |