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 altern...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.展开更多
基金supported by the Natural Sciences and Engineering Research Council of Canada (Grant No. G121210818)National Natural Science Foundation of China (Grant No. 11501105)
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.
