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Strict local martingales and optimal investment in a Black-Scholes model with a bubble

  • Published:2018-02-18 Issue:1 Volume:29 Page:285-328
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Herdegen Martin1,Herrmann Sebastian2

Affiliation:

1. Department of Statistics; University of Warwick; Coventry UK

2. Department of Mathematics; University of Michigan; Ann Arbor MI USA

Funder

Swiss Finance Institute

National Centre of Competence in Research “Financial Valuation and Risk Management”

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference42 articles.

Cited by 7 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Portfolio optimization in the presence of asset price bubbles;Annals of Operations Research;2023-11-23

2. Portfolio Optimization in the Presence of Asset Price Bubbles;SSRN Electronic Journal;2023

3. Asset price bubbles, wealth preserving, dominating, and replicating trading strategies;Frontiers of Mathematical Finance;2023

4. INEFFICIENT BUBBLES AND EFFICIENT DRAWDOWNS IN FINANCIAL MARKETS;International Journal of Theoretical and Applied Finance;2020-11

5. Alternative trading strategies to beat “buy-and-hold”;Physica A: Statistical Mechanics and its Applications;2019-11
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