Thomas Goll, Ludger Rüschendorf. Minimax and minimal distance martingale measures and their relationship to portfolio optimization. Finance and Stochastics, 5(4):557-581, 2001. [doi]
@article{GollR01,
title = {Minimax and minimal distance martingale measures and their relationship to portfolio optimization},
author = {Thomas Goll and Ludger Rüschendorf},
year = {2001},
doi = {10.1007/s007800100052},
url = {http://dx.doi.org/10.1007/s007800100052},
researchr = {https://researchr.org/publication/GollR01},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {5},
number = {4},
pages = {557-581},
}