Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process
AbstractIt is shown that in a market modeled by a vector-valued semimartingale, when we choose the wealth process of an admissible self-financing strategy as a numeraire such that the historical probability measure becomes a martingale measure, then this numeraire must be the wealth process of a growth optimal portfolio. As applications of this result, the growth optimal portfolio in a market driven by a jump-diffusion-like process or a Levy process is worked out.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 1 (2000)
Issue (Month): 1 (May)
Jump-diffusion; Levy process; Martingale measure; Numeraire portfolio; Growth optimal portfolio; Relative entropy;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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