On value preserving and growth optimal portfolios

  • In a discrete-time financial market setting, the paper relates various concepts introduced for dynamic portfolios (both in discrete and in continuous time). These concepts are: value preserving portfolios, numeraire portfolios, interest oriented portfolios, and growth optimal portfolios. It will turn out that these concepts are all associated with a unique martingale measure which agrees with the minimal martingale measure only for complete markets.

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Author:Ralf Korn, Manfred Schäl
URN (permanent link):urn:nbn:de:hbz:386-kluedo-10729
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (57)
Document Type:Preprint
Language of publication:English
Year of Completion:1999
Year of Publication:1999
Publishing Institute:Technische Universität Kaiserslautern
Tag:growth optimal portfolios ; interest oriented portfolios ; logarithmic utility ; martingale measu; numeraire portfolios ; value preserving portfolios
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik
MSC-Classification (mathematics):90C39 Dynamic programming [See also 49L20]
90C40 Markov and semi-Markov decision processes
93E20 Optimal stochastic control

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