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

Listed author(s):
  • 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)

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    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.

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    Article provided by Society for AEF in its journal Annals of Economics and Finance.

    Volume (Year): 1 (2000)
    Issue (Month): 1 (May)
    Pages: 101-116

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    Handle: RePEc:cuf:journl:y:2000:v:1:i:1:p:101-116
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