On the semimartingale property via bounded logarithmic utility

Details On the semimartingale property via bounded logarithmic utility On the semimartingale property via bounded logarithmic utility

2007-06-04

arxiv.org/abs/0706.0468v1

Economy

Quantitative Finance

Portfolio Management

K. Larsen, G. Zitkovic, "On the semimartingale property via bounded logarithmic utility" (2006) to appear in Annals of Finance

Scientific paper

This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes. Unlike our predecessors, we base our modeling framework on the concept of portfolio proportions which yields a short self-contained proof of the main theorem, as well as a counterexample, showing that analogues of our results do not hold in the discontinuous setting.

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