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Value Preserving Strategies and a General Framework for Local Approaches to Optimal Portfolios
Author(s) -
Korn Ralf
Publication year - 2000
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/1467-9965.00091
Subject(s) - semimartingale , portfolio , argument (complex analysis) , value (mathematics) , mathematical economics , mathematical optimization , portfolio optimization , variance (accounting) , mathematics , local volatility , economics , econometrics , financial economics , volatility (finance) , statistics , stochastic volatility , biochemistry , chemistry , accounting
We present some new general results on the existence and form of value preserving portfolio strategies in a general semimartingale setting. The concept of value preservation is derived via a mean‐variance argument. It is also embedded into a framework for local approaches to the problem of portfolio optimization.