Entropy Coherent and Entropy Convex Measures of Risk - Eurandom

6.2 Portfolio Optimization and Indifference Valuation [1]
◮ Let F be a bounded contingent claim.
◮ Consider a Brownian-Poisson setting: we assume that the financial market
consists of a bond with interest rate zero and n ≤ d stocks. The price
process of stock i evolves according to
dS i t
Si = b
t−
i tdt + σ i tdWt +Rd′ ˜β
\{0}
i t(x) Ñp(dt,dx), i = 1, . . . , n,
where b i (σ i , ˜ β i ) are R (R d , R)-valued predictable and uniformly bounded
stochastic processes.
Entropy Coherent and Entropy Convex Measures of Risk Advances in Financial Mathematics, Eurandom, Eindhoven 38/40