摘要翻译：
金融市场数学模型中可接受交易策略的选择是一个微妙的问题，可以追溯到Harrison和Kreps(1979)。在期望效用偏好下的最优投资组合选择中，这个问题在过去二十年中一直是人们关注的焦点。我们提出了一个新颖的可容许性概念，它具有许多令人愉快的特征--可容许性纯粹是在客观测度下刻画的；每个可接受的策略可以用有限个交易日期的简单策略来近似；在所有定价测度下，任何可容许策略的财富都是一个上鞅；不要求价格过程的局部有界性；效用函数既不需要严格的单调性，也不需要严格的凹性和可微性；该定义包含了经典的均值-方差偏好和单调的期望效用。对于整实线上有限的效用函数，我们的类表示一个包含简单策略的极小集，它也包含优化器，条件比效用函数上著名的合理渐近弹性条件更温和。
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英文标题：
《Admissible Strategies in Semimartingale Portfolio Selection》
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作者：
Sara Biagini and Ale\v{s} \v{C}ern\'y
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
  The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this question has been a focus of considerable attention over the last twenty years. We propose a novel notion of admissibility that has many pleasant features - admissibility is characterized purely under the objective measure; each admissible strategy can be approximated by simple strategies using finite number of trading dates; the wealth of any admissible strategy is a supermartingale under all pricing measures; local boundedness of the price process is not required; neither strict monotonicity, strict concavity nor differentiability of the utility function are necessary; the definition encompasses both the classical mean-variance preferences and the monotone expected utility. For utility functions finite on the whole real line, our class represents a minimal set containing simple strategies which also contains the optimizer, under conditions that are milder than the celebrated reasonable asymptotic elasticity condition on the utility function.
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PDF链接：
https://arxiv.org/pdf/0910.3936