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Value preserving portfolio strategies and the minimal martingale measure

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  • Ralf Korn

Abstract

We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical. Copyright Physica-Verlag 1998

Suggested Citation

  • Ralf Korn, 1998. "Value preserving portfolio strategies and the minimal martingale measure," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 47(2), pages 169-179, June.
    • Handle: RePEc:spr:mathme:v:47:y:1998:i:2:p:169-179
    DOI: 10.1007/BF01194396
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    1. Ralf Korn, 1997. "Value preserving portfolio strategies in continuous-time models," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 45(1), pages 1-43, February.
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    Cited by:

    1. Hellwig, Klaus, 2004. "Portfolio selection subject to growth objectives," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2119-2128, September.
    2. Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.
    3. Klaus Hellwig, 2002. "Value management," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 133-138.
    4. Klaus Hellwig, 2005. "Portfolio Selection with Little Information about the Future," Annals of Economics and Finance, Society for AEF, vol. 6(2), pages 331-335, November.

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    1. Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.
    2. Klaus Hellwig, 2002. "Value management," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 133-138.
    3. Hellwig, Klaus, 2004. "Portfolio selection subject to growth objectives," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2119-2128, September.

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