| bibtype |
J -
Journal Article
|
| ARLID |
0545582 |
| utime |
20240103230147.7 |
| mtime |
20210917235959.9 |
| SCOPUS |
85124813473 |
| title
(primary) (eng) |
Progressive projection and log-optimal investment in the frictionless market |
| specification |
| page_count |
41 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0545581 |
| ISSN |
0321-3900 |
| title
|
Theory of Stochastic Processes |
| volume_id |
25 |
| volume |
1 (2020) |
| page_num |
37-77 |
| publisher |
| name |
Natsional'na Akademiya Nauk Ukrainy |
|
|
| keyword |
log-optimal investment |
| keyword |
progressive projection |
| keyword |
filtering |
| author
(primary) |
| ARLID |
cav_un_auth*0413920 |
| name1 |
Dostál |
| name2 |
Petr |
| institution |
UTIA-B |
| full_dept (cz) |
Rozpoznávání obrazu |
| full_dept (eng) |
Department of Pattern Recognition |
| department (cz) |
RO |
| department (eng) |
RO |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0365236 |
| name1 |
Mach |
| name2 |
Tibor |
| institution |
UTIA-B |
| full_dept (cz) |
Stochastická informatika |
| full_dept |
Department of Stochastic Informatics |
| department (cz) |
SI |
| department |
SI |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| source |
|
| cas_special |
| abstract
(eng) |
In this paper, we introduce notion of progressive projection, closely related to the extended predictable projection. This notion is exible enough to help us treat the problem of log-optimal investment without transaction costs almost exhaustively in case when the rate of return is not observed. We prove some results saying that the semimartingale property of a continuous process is preserved when changing the filtration to the one generated by the process under very general conditions. We also had to introduce a very useful and exible notion of so called enriched filtration. |
| result_subspec |
SCOPUS |
| RIV |
BA |
| FORD0 |
10000 |
| FORD1 |
10100 |
| FORD2 |
10103 |
| reportyear |
2022 |
| num_of_auth |
2 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0322311 |
| cooperation |
| ARLID |
cav_un_auth*0335448 |
| name |
MFF Charles University, V Holešovickách 2, 180 00 Prague 8 |
| country |
CZ |
|
| confidential |
S |
| mrcbC91 |
A |
| mrcbT16-s |
0.117 |
| mrcbT16-E |
Q4 |
| arlyear |
2020 |
| mrcbU14 |
85124813473 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
WOS |
| mrcbU63 |
cav_un_epca*0545581 Theory of Stochastic Processes 0321-3900 Roč. 25 č. 1 2020 37 77 Natsional'na Akademiya Nauk Ukrainy |
|