We give a unified characterization of π-optimal martingale measures for π β [0, β) in an incomplete market model, where the dynamics of asset prices are described by a continuous semimartingale. According to this characterization the variance-optimal, the minimal entropy and the minimal martingale measures appear as the special cases π = 2, π = 1 and π = 0 respectively. Under assumption that the Reverse HΓΆlder condition is satisfied, the continuity (in πΏ 1 and in entropy) of densities of π-optimal martingale measures with respect to π is proved.
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Mania et al. (2003) studied this question.
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