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In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo [6]. In particular, we consider a stochastic differential game between two players, namely, the investor who has a power utility while the second player represents the market which tries to minimize the expected payoff… (More)

- Matija Vidmar, Saul Jacka
- 2014

J o u r n a l o f P r o b a b i l i t y Electron. Abstract We consider the convergence of a continuous-time Markov chain approximation X h , h > 0, to an R d-valued Lévy process X. The state space of X h is an equidistant lattice and its Q-matrix is chosen to approximate the generator of X. In dimension one (d = 1), and then under a general sufficient… (More)

In this paper, we consider trading with proportional transaction costs as in Schachermayer's paper of 2004. We give a necessary and sufficient condition for A, the cone of claims attainable from zero endowment, to be closed. Then we show how to define a revised set of trading prices in such a way that firstly, the corresponding cone of claims attainable for… (More)

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