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The numeraire property and long-term growth optimality for drawdown-constrained investments
numeraire property long-term growth optimality drawdown-constrained investments
2012/9/14
We consider the portfolio choice problem for an investor interested in long-run growth optimality while facing drawdown constraints in a general continuous semimartingale model. The paper introduces t...
On the Martingale Property of Certain Local Martingales
Local martingales vs true martingales one-dimensional diffusions separating times
2010/11/1
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...