IDEAS home Printed from https://ideas.repec.org/a/cuf/journl/y2000v1i1p101-116.html
   My bibliography  Save this article

Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process

Author

Listed:
  • Jia-an Yan

    () (Inst. of Applied Math., Academy of Mathematics and Systems Science, Academia Sinica)

  • Qiang Zhang

    () (Dept. of Economics and Finance, City University of Hong Kong)

  • Shuguang Zhang

    () (Dept. of Stat. & Finance, University of Science and Technology of China)

Abstract

It 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.

Suggested Citation

  • Jia-an Yan & Qiang Zhang & Shuguang Zhang, 2000. "Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process," Annals of Economics and Finance, Society for AEF, vol. 1(1), pages 101-116, May.
  • Handle: RePEc:cuf:journl:y:2000:v:1:i:1:p:101-116
    as

    Download full text from publisher

    File URL: http://www.aeconf.net/Articles/May2000/aef010106.pdf
    Download Restriction: no

    File URL: http://down.aefweb.net/AefArticles/aef010106.pdf
    Download Restriction: no

    More about this item

    Keywords

    Jump-diffusion; Levy process; Martingale measure; Numeraire portfolio; Growth optimal portfolio; Relative entropy;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cuf:journl:y:2000:v:1:i:1:p:101-116. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Qiang Gao). General contact details of provider: http://edirc.repec.org/data/emcufcn.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.