A note on admissibility when the credit line is infinite
A note on admissibility when the credit line is infinite
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关于信用额度无限时受理的说明
DOI：
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
M. Sîrbu
中科院分区：
文献类型：
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作者：
Sara Biagini;M. Sîrbu
在期望效用最大化的背景下，我们定义了一类新的基于历史度量下损失动态边界的可接受策略。更准确地说，损失控制是由一个与投资者偏好相容的鞅给出的。主要结果是ansel - stricker型引理3.3，该引理表明，在所有相对熵有限的sigma-鞅测度下，允许策略是上鞅，因此允许对偶理论用于优化问题。
In the context of expected utility maximization for utilities defined on the whole real line, we define a new class of admissible strategies in terms of dynamic bounds on losses under the historical measure . More precisely, the loss control is given by a -martingale which is compatible with the preferences of the investor. The main result is the Ansel–Stricker-type Lemma 3.3 which shows that the admissible strategies are supermartingales under all sigma-martingale measures with finite relative entropy, therefore, allowing for a duality theory for the optimization problem.