The numéraire portfolio in semimartingale financial models

DOI10.1007/s00780-007-0047-3zbMath1144.91019arXiv0803.1877OpenAlexW2164288937MaRDI QIDQ2463718

Constantinos Kardaras, Ioannis Karatzas

Publication date: 16 December 2007

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.1877

zbMATH Keywords

semimartingale numéraire portfolio log-utility free lunch predictable characteristics supermartingale deflator

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)

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