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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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Metadaten
Author:Ralf Korn, Manfred Schäl
URN:urn:nbn:de:hbz:386-kluedo-10729
Series (Serial Number):Report in Wirtschaftsmathematik (WIMA Report) (57)
Document Type:Preprint
Language of publication:English
Year of Completion:1999
Year of first Publication:1999
Publishing Institution:Technische Universität Kaiserslautern
Date of the Publication (Server):2000/08/29
Tag:growth optimal portfolios; interest oriented portfolios; logarithmic utility; martingale measu; numeraire portfolios; value preserving portfolios
Faculties / Organisational entities:Kaiserslautern - Fachbereich Mathematik
DDC-Cassification:5 Naturwissenschaften und Mathematik / 510 Mathematik
MSC-Classification (mathematics):90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C39 Dynamic programming [See also 49L20]
90-XX OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING / 90Cxx Mathematical programming [See also 49Mxx, 65Kxx] / 90C40 Markov and semi-Markov decision processes
93-XX SYSTEMS THEORY; CONTROL (For optimal control, see 49-XX) / 93Exx Stochastic systems and control / 93E20 Optimal stochastic control
Licence (German):Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011