%0 Journal Article
%T Necessary and sufficient conditions for the existence of the q-optimal measure
%A Sotirios Sabanis
%J Mathematics
%D 2008
%I arXiv
%X This paper presents the general form and essential properties of the q-optimal measure following the approach of Delbaen and Schachermayer (1996) and proves its existence under mild conditions. Most importantly, it states a necessary and sufficient condition for a candidate measure to be the q-optimal measure in the case even of signed measures. Finally, an updated characterization of the q-optimal measure for continuous asset price processes is presented in the light of the counterexample appearing in Cerny and Kallsen (2006) concerning Hobson's (2004) approach.
%U http://arxiv.org/abs/0808.3751v1