Structure condition under initial enlargement of filtration

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• 作者：Tahir Choulli ; Jun Deng
• 关键词：structure condition ; initial enlargement of filtration ; optional stochastic integral
• 刊名：Science China Mathematics
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：60
• 期：2
• 页码：301-316
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Applications of Mathematics;
• 出版者：Science China Press
• ISSN：1869-1862
• 卷排序：60

文摘

We address the question of how the structure condition is affected when one possesses some additional information at the very beginning of the investment period. The structure condition represents essentially an alternative to non-arbitrage conditions for the Markowitz’s portfolio optimization framework, and is crucial for the existence of the optimal portfolio in quadratic utility settings. Herein, we provide practical assumption on the initial market model and the additional information to preserve the structure condition. The stochastic tools that drive this result are a generalization of the Lazaro-Yor representation by Lazaro and Yor (1978) and optional stochastic integral.