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20092011
most cited-divergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a change-point

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math.PR2010

An -divergence approach for optimal portfolios in exponential Levy models

S. Cawston, L. Vostrikova

We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to -divergence minimal martingale m…