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The numéraire portfolio in semimartingale financial models

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  • Ioannis Karatzas

    ()

  • Constantinos Kardaras

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s00780-007-0047-3
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 11 (2007)
    Issue (Month): 4 (October)
    Pages: 447-493

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    Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493

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    Related research

    Keywords: Numéraire portfolio; Semimartingale; Predictable characteristics; Free lunch; Supermartingale deflator; Log-utility; 60H05; 60H30; 91B28; G11;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Thomas Goll & Ludger Rüschendorf, 2001. "Minimax and minimal distance martingale measures and their relationship to portfolio optimization," Finance and Stochastics, Springer, vol. 5(4), pages 557-581.
    2. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
    3. repec:wop:humbsf:1997-31 is not listed on IDEAS
    4. Föllmer, Hans & Kramkov, D. O., 1997. "Optional decompositions under constraints," SFB 373 Discussion Papers 1997,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    5. Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November.
    6. Schweizer, Martin, 1999. "A minimality property of the minimal martingale measure," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 27-31, March.
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    Citations

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    Cited by:
    1. Johannes Temme, 2012. "Power utility maximization in exponential Lévy models: convergence of discrete-time to continuous-time maximizers," Computational Statistics, Springer, vol. 76(1), pages 21-41, August.
    2. Constantinos Kardaras, 2011. "On the closure in the Emery topology of semimartingale wealth-process sets," Papers 1108.0945, arXiv.org, revised Jul 2013.
    3. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
    4. Kardaras, Constantinos & Platen, Eckhard, 2011. "On the semimartingale property of discounted asset-price processes," Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2678-2691, November.
    5. Koichiro Takaoka & Martin Schweizer, 2014. "A note on the condition of no unbounded profit with bounded risk," Finance and Stochastics, Springer, vol. 18(2), pages 393-405, April.
    6. Sebastian. E. Ferrando & Alfredo L. Gonzalez & Ivan L. Degano & Massoome Rahsepar, 2014. "Discrete, Non Probabilistic Market Models. Arbitrage and Pricing Intervals," Papers 1407.1769, arXiv.org.
    7. Claudia Ceci & Katia Colaneri & Alessandra Cretarola, 2013. "A Benchmark Approach to Risk-Minimization under Partial Information," Papers 1307.6036, arXiv.org.
    8. Roland G. Fryer, Jr. & Philipp Harms, 2013. "Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability," NBER Working Papers 19043, National Bureau of Economic Research, Inc.
    9. Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014. "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, vol. 18(1), pages 75-114, January.
    10. Shiqi Song, 2014. "Local martingale deflators for asset processes stopped at a default time $S^\mathfrak{t}$ or just before $S^{\mathfrak{t}-}$," Papers 1405.4474, arXiv.org, revised Aug 2014.
    11. Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney.
    12. Eckhard Platen, 2009. "Real World Pricing of Long Term Contracts," Research Paper Series 262, Quantitative Finance Research Centre, University of Technology, Sydney.
    13. Constantinos Kardaras, 2013. "On the closure in the Emery topology of semimartingale wealth-process sets," LSE Research Online Documents on Economics 44996, London School of Economics and Political Science, LSE Library.
    14. Constantinos Kardaras, 2012. "Market viability via absence of arbitrage of the first kind," Finance and Stochastics, Springer, vol. 16(4), pages 651-667, October.
    15. Constantinos Kardaras, 2010. "Numéraire-invariant preferences in financial modeling," LSE Research Online Documents on Economics 44993, London School of Economics and Political Science, LSE Library.
    16. Kardaras, Constantinos, 2010. "The continuous behavior of the numéraire portfolio under small changes in information structure, probabilistic views and investment constraints," Stochastic Processes and their Applications, Elsevier, vol. 120(3), pages 331-347, March.
    17. Vladimir Cherny & Jan Obłój, 2013. "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, vol. 17(4), pages 771-800, October.
    18. Nicolas Perkowski & David J. Pr\"omel, 2014. "Local times for typical price paths and pathwise Tanaka formulas," Papers 1405.4421, arXiv.org.
    19. Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190, arXiv.org.
    20. Biagini, Francesca & Groll, Andreas & Widenmann, Jan, 2013. "Intensity-based premium evaluation for unemployment insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 302-316.
    21. Oleksii Mostovyi, 2011. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Papers 1107.5852, arXiv.org, revised Jul 2012.

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