2007/06/04 by Kasper Larsen, Larsen, Kasper, Gordan Žitković +2
Decision Sciences · Economics, Econometrics and Finance · Mathematics · Social Sciences · #FOS: Economics and business #FOS: Mathematics #Insurance, Mortality, Demography, Risk Management #Portfolio Management (q-fin.PM) #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #q-fin.PM #q-fin.PR
paper · pdf · doi:10.48550/arxiv.0706.0468
K. Larsen, G. Zitkovic, "On the semimartingale property via bounded logarithmic utility" (2006) to appear in Annals of Finance
arxiv created 2007/06/04 · openalex publication_date 2007/06/04 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \Oksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes. Unlike our predecessors, we base our modeling framework on the concept of portfolio proportions which yields a short self-contained proof of the main theorem, as well as a counterexample, showing that analogues of our results do not hold in the discontinuous setting.