On value preserving and growth optimal portfolios
In a discrete-time financial market, the paper relates various concepts for dynamic portfolios, as the value preserving portfolio, the numeraire portfolio, interest oriented portfolio, and growth optimal portfolio. It is shown that these concepts are all associated with a unique measure which agrees with the minimal martingale measure only for complete markets. The main aim of this paper is to show that all these concepts have close relations to each other. This paper is organized in 5 sections. After section 1 (introduction and summary), section 2 describes the discrete-time financial market setting. The different concepts are introduced in section 3. Section 4 is devoted to the study of the characteristics of growth optimal portfolios. Section 5 presents various results relating the different market concepts.
scientific article; zbMATH DE number 1370332