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
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dai, Darong, 2011. "Modeling the minimum time needed to economic maturity," MPRA Paper 40583, University Library of Munich, Germany, revised 08 Aug 2012.
    2. Shunlong Luo & Jia-an Yan & Qiang Zhang, 2001. "Arbitrage Pricing Systems in a Market Driven by an Itô Process," World Scientific Book Chapters, in: Jiongmin Yong (ed.), Recent Developments In Mathematical Finance, chapter 22, pages 263-271, World Scientific Publishing Co. Pte. Ltd..

    More about this item

    Keywords

    Jump-diffusion; Levy process; Martingale measure; Numeraire portfolio; Growth optimal portfolio; Relative entropy;
    All these keywords.

    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.

    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 bibliographic 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.

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

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.