The numeraire portfolio in financial markets modeled by a multi-dimensional jump diffusion process

DOI10.1007/s10203-003-0040-zzbMath1137.91455OpenAlexW2001654558MaRDI QIDQ1417729

Frank Oertel, Manfred Schäl, Ralf Korn

Publication date: 8 January 2004

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-003-0040-z

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic growth models (91B62) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (7)

How non-arbitrage, viability and numéraire portfolio are related ⋮ A General Benchmark Model for Stochastic Jump Sizes ⋮ Real-world jump-diffusion term structure models ⋮ Portfolio optimization in a defaultable Lévy-driven market model ⋮ No Arbitrage and the Growth Optimal Portfolio ⋮ Market viability and martingale measures under partial information ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs

Cites Work

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• Optimal portfolios for logarithmic utility.
• Approximation pricing and the variance-optimal martingale measure
• Portfolio Optimization and Martingale Measures
• Bond Market Structure in the Presence of Marked Point Processes
• The numeraire portfolio for unbounded semimartingale

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