Characterisation of optimal dual measures via distortion
We derive representations for optimal martingale measures in a two-factor Markovian model, by seeking ramifications of a distortion power solution (Zariphopoulou, 2001) of the primal utility maximisation problem, for the dual problem. This provides an alternative to existing methods in the literatur...
| Main Author: | |
|---|---|
| Format: | Journal article |
| Published: |
2006
|
| _version_ | 1797074749739761664 |
|---|---|
| author | Monoyios, M |
| author_facet | Monoyios, M |
| author_sort | Monoyios, M |
| collection | OXFORD |
| description | We derive representations for optimal martingale measures in a two-factor Markovian model, by seeking ramifications of a distortion power solution (Zariphopoulou, 2001) of the primal utility maximisation problem, for the dual problem. This provides an alternative to existing methods in the literature for characterising optimal measures, and gives new results in the form of a novel representation for the dual stochastic control problem, and in the form of Esscher transform relations between the optimal measure and the minimal measure. |
| first_indexed | 2024-03-06T23:40:41Z |
| format | Journal article |
| id | oxford-uuid:6f35cccf-c5d8-4148-a0e7-d717eea99f51 |
| institution | University of Oxford |
| last_indexed | 2024-03-06T23:40:41Z |
| publishDate | 2006 |
| record_format | dspace |
| spelling | oxford-uuid:6f35cccf-c5d8-4148-a0e7-d717eea99f512022-03-26T19:29:14ZCharacterisation of optimal dual measures via distortionJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:6f35cccf-c5d8-4148-a0e7-d717eea99f51Mathematical Institute - ePrints2006Monoyios, MWe derive representations for optimal martingale measures in a two-factor Markovian model, by seeking ramifications of a distortion power solution (Zariphopoulou, 2001) of the primal utility maximisation problem, for the dual problem. This provides an alternative to existing methods in the literature for characterising optimal measures, and gives new results in the form of a novel representation for the dual stochastic control problem, and in the form of Esscher transform relations between the optimal measure and the minimal measure. |
| spellingShingle | Monoyios, M Characterisation of optimal dual measures via distortion |
| title | Characterisation of optimal dual measures via distortion |
| title_full | Characterisation of optimal dual measures via distortion |
| title_fullStr | Characterisation of optimal dual measures via distortion |
| title_full_unstemmed | Characterisation of optimal dual measures via distortion |
| title_short | Characterisation of optimal dual measures via distortion |
| title_sort | characterisation of optimal dual measures via distortion |
| work_keys_str_mv | AT monoyiosm characterisationofoptimaldualmeasuresviadistortion |