On value preserving and growth optimal portfolios
type: Item
instance of: scholarly article
title: On value preserving and growth optimal portfolios
zbMATH Open document ID: 0959.91028
author: Ralf Korn
author: Manfred Schäl
published in: Mathematical Methods of Operations Research
publication date: 2000-05-17T00:00:00Z
full work available at URL: http://nbn-resolving.de/urn/resolver.pl
review text: 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.
reviewed by: Klaus Ehemann
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B62
zbMATH DE Number: 1370332
zbMATH Keywords: dynamic portfolios
zbMATH Keywords: martingale measure
zbMATH Keywords: logarithmic utility
MaRDI profile type: Publication
OpenAlex ID: W2086093179
DOI: 10.1007/S001860050095
description: scientific article; zbMATH DE number 1370332