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The numéraire portfolio in semimartingale financial models

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Author Info
Ioannis Karatzas ()
Constantinos Kardaras ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-007-0047-3
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Publisher 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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Web page: http://www.springerlink.com/content/101164/

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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 listed on IDEAS
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.:
  1. Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  2. 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. [Downloadable!] (restricted)
  3. Schweizer, Martin, 1999. "A minimality property of the minimal martingale measure," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 27-31, March. [Downloadable!] (restricted)
  4. H. Föllmer & D. Kramkov, . "Optional decompositions under constraints," Sonderforschungsbereich 373 1997-31, Humboldt Universitaet Berlin.
  5. Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November. [Downloadable!] (restricted)
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This page was last updated on 2009-11-25.

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