Progressive projection and log-optimal investment in the frictionless market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10419376" target="_blank" >RIV/00216208:11320/20:10419376 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/20:00545582
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=L4WA.qa9Ip" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=L4WA.qa9Ip</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Progressive projection and log-optimal investment in the frictionless market
Original language description
In this paper, we introduce notion of progressive projection, closely related to the extended predictable projection. This notion is flexible 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 flexible notion of so called enriched filtration.
Czech name
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Czech description
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Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
10103 - Statistics and probability

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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