Portfolio selection and asset pricing under a benchmark approach
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2006.04.036
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Harry M. Markowitz, 2011.
"Investment for the Long Run: New Evidence for an Old Rule,"
World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 35, pages 495-508,
World Scientific Publishing Co. Pte. Ltd..
- Markowitz, Harry M, 1976. "Investment for the Long Run: New Evidence for an Old Rule," Journal of Finance, American Finance Association, vol. 31(5), pages 1273-1286, December.
- Eckhard Platen, 2006.
"A Benchmark Approach To Finance,"
Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
- Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
- William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
- Eckhard Platen, 2004.
"A Benchmark Framework for Risk Management,"
World Scientific Book Chapters, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe (ed.), Stochastic Processes And Applications To Mathematical Finance, chapter 15, pages 305-335,
World Scientific Publishing Co. Pte. Ltd..
- Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney.
- David Heath & Eckhard Platen, 2005.
"Currency Derivatives Under A Minimal Market Model With Random Scaling,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1157-1177.
- David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2004.
"Modeling The Volatility And Expected Value Of A Diversified World Index,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 511-529.
- Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney.
- Platen, Eckhard, 2000.
"A minimal financial market model,"
SFB 373 Discussion Papers
2000,91, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Eckhard Platen, 2001. "A Minimal Financial Market Model," Research Paper Series 48, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2004.
"Diversified Portfolios with Jumps in a Benchmark Framework,"
Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 1-22, March.
- Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
- Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Martin Kulldorff & Ajay Khanna, 1999. "A generalization of the mutual fund theorem," Finance and Stochastics, Springer, vol. 3(2), pages 167-185.
- Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July.
- Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Bohdan Yu. Kyshakevych & Anatoliy K. Prykarpatsky & Denis Blackmore & Ivan P. Tverdokhlib, 2010. "Statistically Optimal Strategy Analysis of a Competing Portfolio Market with a Polyvariant Profit Function," Papers 1005.2661, arXiv.org.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Eckhard Platen, 2005.
"On The Role Of The Growth Optimal Portfolio In Finance,"
Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 365-388, December.
- Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19, July-Dece.
- Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.
- Eckhard Platen, 2011.
"A Benchmark Approach to Investing and Pricing,"
World Scientific Book Chapters, in: Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 28, pages 409-426,
World Scientific Publishing Co. Pte. Ltd..
- Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney.
- Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, July-Dece.
- Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kevin Fergusson & Eckhard Platen, 2006.
"On the Distributional Characterization of Daily Log-Returns of a World Stock Index,"
Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(1), pages 19-38.
- Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Renata Rendek, 2009.
"Simulation of Diversified Portfolios in a Continuous Financial Market,"
Research Paper Series
264, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Renata Rendek, 2010. "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series 282, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2006.
"A Benchmark Approach To Finance,"
Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
- Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2004.
"Diversified Portfolios with Jumps in a Benchmark Framework,"
Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 1-22, March.
- Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney.
- Truc Le & Eckhard Platen, 2006.
"Approximating the Growth Optimal Portfolio with a Diversified World Stock Index,"
Research Paper Series
184, Quantitative Finance Research Centre, University of Technology, Sydney.
- Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 180, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen & Renata Rendek, 2012.
"Approximating the numéraire portfolio by naive diversification,"
Journal of Asset Management, Palgrave Macmillan, vol. 13(1), pages 34-50, February.
- Eckhard Platen & Renata Rendek, 2010. "Approximating the Numeraire Portfolio by Naive Diversification," Research Paper Series 281, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney.
- Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2013, January-A.
- Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2007, January-A.
- Kevin John Fergusson, 2018. "Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2018, January-A.
- Eckhard Platen, 2008. "The Law of Minimal Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney.
- Leah Kelly, 2004. "Inference and Intraday Analysis of Diversified World Stock Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2004, January-A.
- Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney.
More about this item
Keywords
Financial market modeling; Benchmark approach; Growth optimal portfolio; Portfolio optimization; Fair pricing; Minimal market model;All these keywords.
Statistics
Access and download statisticsCorrections
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:eee:phsmap:v:370:y:2006:i:1:p:23-29. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.