On the semimartingale property via bounded logarithmic utility
| dc.creator | Larsen, Kasper | |
| dc.creator | Zitkovic, Gordan | |
| dc.date | 2007-06-04 | |
| dc.date.accessioned | 2026-07-07T12:10:23Z | |
| dc.date.available | 2026-07-07T12:10:23Z | |
| dc.description | This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes. Unlike our predecessors, we base our modeling framework on the concept of portfolio proportions which yields a short self-contained proof of the main theorem, as well as a counterexample, showing that analogues of our results do not hold in the discontinuous setting. | |
| dc.description | K. Larsen, G. Zitkovic, "On the semimartingale property via bounded logarithmic utility" (2006) to appear in Annals of Finance | |
| dc.identifier | https://arxiv.org/abs/0706.0468 | |
| dc.identifier | http://arxiv.org/abs/0706.0468 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/209924 | |
| dc.subject | Portfolio Management | |
| dc.subject | Probability | |
| dc.subject | Pricing of Securities | |
| dc.title | On the semimartingale property via bounded logarithmic utility | |
| dc.type | text |