On Financial Markets where only Buy-And-Hold Trading is Possible
Download full text from publisher
References listed on IDEAS
- Föllmer, Hans & Kramkov, D. O., 1997. "Optional decompositions under constraints," SFB 373 Discussion Papers 1997,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, 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.
- Eckhard Platen, 2011. "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters,in: THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE, chapter 28, pages 409-426 World Scientific Publishing Co. Pte. Ltd..
- Constantinos Kardaras & Eckhard Platen, 2008.
"Minimizing the Expected Market Time to Reach a Certain Wealth Level,"
Research Paper Series
230, Quantitative Finance Research Centre, University of Technology, Sydney.
- Constantinos Kardaras & Eckhard Platen, 2009. "Minimizing the expected market time to reach a certain wealth level," Papers 0904.1903, arXiv.org.
- Constantinos Kardaras, 2008. "The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints," Papers 0804.2912, arXiv.org, revised Nov 2009.
More about this item
Keywordsnumeraire portfolio; semimartingales; buy-and-hold strategies; unbounded profit with bounded risk; supermartingale deflators; utility maximization.;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-03-08 (All new papers)
- NEP-FMK-2008-03-08 (Financial Markets)
- NEP-UPT-2008-03-08 (Utility Models & Prospect Theory)
StatisticsAccess and download statistics
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:uts:rpaper:213. 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: (Duncan Ford). General contact details of provider: http://edirc.repec.org/data/qfutsau.html .