The numeraire portfolio for unbounded semimartingales
Asset prices discounted by a tradable numeraire N should be (local) martingales under some measure Q that is equivalent to the original probability measure P. Instead of studying the set of equivalent martingale measures with respect to a prespecified numeraire, we will look for a tradable numeraire $N^P$ such that the discounted asset prices become martingales with respect to the original measure P. $N^P$ is called (P-)numeraire portfolio. Since the above martingale condition is too stringent to obtain a general existence result, we define a (generalized) numeraire portfolio by a weaker requirement. This $N^P$ is characterized as the solution to several optimization problems.
Volume (Year): 5 (2001)
Issue (Month): 3 ()
|Note:||received: March 1999; final version received: July 2000|
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2|
When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:5:y:2001:i:3:p:327-341. 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: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.