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zbMath1181.91294MaRDI QIDQ3656696

Manfred Schäl, Ralf Korn

Publication date: 13 January 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

minimal martingale measure growth optimal portfolio numeraire portfolio benchmark approach NUIP condition value preserving portfolio

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (2)

Arbitrage concepts under trading restrictions in discrete-time financial markets ⋮ Numeraire portfolios and utility-based price systems under proportional transaction costs

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