Portfolio optimisation beyond semimartingales: Shadow prices and fractional Brownian motion
نویسندگان
چکیده
منابع مشابه
Portfolio optimisation beyond semimartingales: shadow prices and fractional Brownian motion∗
While absence of arbitrage in frictionless financial markets requires price processes to be semimartingales, non-semimartingales can be used to model prices in an arbitrage-free way, if proportional transaction costs are taken into account. In this paper, we show, for a class of price processes which are not necessarily semimartingales, the existence of an optimal trading strategy for utility m...
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The present paper accomplishes a major step towards a reconciliation of two conflicting approaches in mathematical finance: on the one hand, the mainstream approach based on the notion of no arbitrage (Black, Merton & Scholes); and on the other hand, the consideration of non-semimartingale price processes, the archetype of which being fractional Brownian motion (Mandelbrot). Imposing (arbitrari...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2017
ISSN: 1050-5164
DOI: 10.1214/16-aap1234