APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES

DOI10.1142/S021902492050048XzbMath1459.91179OpenAlexW3108097099MaRDI QIDQ5854315

Renata Rendek, Eckhard Platen

Publication date: 16 March 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902492050048x

zbMATH Keywords

growth optimal portfoliobenchmark approachstock price bubbleshierarchical diversificationstrict supermartingale property

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

No arbitrage and multiplicative special semimartingales

Cites Work

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