Minimal Hellinger Deflators and HARA Forward Utilities with Applications: Hedging with Variable Horizon

  • Author / Creator
    Ma, Junfeng
  • This thesis develops three major essays on the topic of horizon-dependence for optimal portfolio. The first essay contributes extensively to the newest concept of forward utilities. In this essay, we describe explicitly three classes of forward utilities--that we call HARA forward utilities--as well as their corresponding optimal portfolios. The stochastic tool behind our analysis lies in the concept of Minimal Hellinger Martingale densities (called MHM densities hereafter), introduced and developed recently by Choulli and his collaborators. The obtained results for HARA forward utilities by using MHM densities are derived under assumptions on the market model. The relaxation of some of these assumptions leads to introduce the new concept of Minimal Hellinger Deflator in order to characterize HARA forward utilities. The second essay addresses the problem of finding horizon-unbiased optimal portfolio from the perspective of contract theory. In fact, we consider an agent with classical exponential utility and describe--as explicit as possible--the payoff process for which there exists a horizon-unbiased optimal hedging portfolio. The last essay focuses on the financial problem that we call optimal sale problem. This problem consists of an agent who is investing in stocks and possesses a non-tradable asset that she aims to sell. The goal of this investor is to find the optimal portfolio--from her investment in stock market--and optimal time to liquidate all her assets (tradable or not).

  • Subjects / Keywords
  • Graduation date
    Fall 2013
  • Type of Item
  • Degree
    Doctor of Philosophy
  • DOI
  • License
    This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.
  • Language
  • Institution
    University of Alberta
  • Degree level
  • Department
  • Specialization
    • Mathematical Finance
  • Supervisor / co-supervisor and their department(s)
  • Examining committee members and their departments
    • Alexander Melnikov (Math and Stats Sciences)
    • Byron Schmuland (Math and Stats Sciences)
    • Valentina Galvani (Economics)
    • Yuri Kabanov (Mathematics, U.F.R. des Sciences et Technologie)
    • Christoph Frei (Math and Stats Sciences)
    • Edit Gombay (Math and Stats Sciences)
    • Tahir Choulli (Math and Stats Sciences)