No Arbitrage and the Growth Optimal Portfolio
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Publication:3423706
DOI10.1080/07362990600870488zbMath1163.91017OpenAlexW2045303280MaRDI QIDQ3423706
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Publication date: 15 February 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990600870488
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
Related Items (24)
Log-optimal and numéraire portfolios for market models stopped at a random time ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ No-arbitrage up to random horizon for quasi-left-continuous models ⋮ Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality ⋮ How non-arbitrage, viability and numéraire portfolio are related ⋮ No arbitrage and multiplicative special semimartingales ⋮ SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS ⋮ The Black–Scholes equation in the presence of arbitrage ⋮ On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes ⋮ Asymptotic arbitrage and numéraire portfolios in large financial markets ⋮ Local risk-minimization under the benchmark approach ⋮ A General Benchmark Model for Stochastic Jump Sizes ⋮ The numéraire portfolio in semimartingale financial models ⋮ GENERALIZED SUPERMARTINGALE DEFLATORS UNDER LIMITED INFORMATION ⋮ BENCHMARKED RISK MINIMIZATION ⋮ No-arbitrage under additional information for thin semimartingale models ⋮ On the semimartingale property of discounted asset-price processes ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk ⋮ Portfolio optimization in a defaultable Lévy-driven market model ⋮ A BENCHMARK APPROACH TO FINANCE ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS ⋮ A CONCISE CHARACTERIZATION OF OPTIMAL CONSUMPTION WITH LOGARITHMIC PREFERENCES ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs
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