Minimizing the Expected Market Time to Reach a Certain Wealth Level
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- Constantinos Kardaras & Eckhard Platen, 2009. "Minimizing the expected market time to reach a certain wealth level," Papers 0904.1903, arXiv.org.
References listed on IDEAS
- Dirk Becherer, 2001. "The numeraire portfolio for unbounded semimartingales," Finance and Stochastics, Springer, vol. 5(3), pages 327-341.
- 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.
- Long, John Jr., 1990. "The numeraire portfolio," Journal of Financial Economics, Elsevier, vol. 26(1), pages 29-69, July.
- Kardaras, Constantinos & Platen, Eckhard, 2011.
"On the semimartingale property of discounted asset-price processes,"
Stochastic Processes and their Applications, Elsevier, vol. 121(11), pages 2678-2691, November.
- Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Papers 0803.1890, arXiv.org, revised Nov 2009.
- Constantinos Kardaras & Eckhard Platen, 2008. "On Financial Markets where only Buy-And-Hold Trading is Possible," Research Paper Series 213, Quantitative Finance Research Centre, University of Technology, Sydney.
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Cited by:
- Eckhard Platen & Renata Rendek, 2017.
"Market Efficiency and Growth Optimal Portfolio,"
Papers
1706.06832, arXiv.org.
- Eckhard Platen & Renata Rendek, 2017. "Market Efficiency and the Growth Optimal Portfolio," Research Paper Series 386, Quantitative Finance Research Centre, University of Technology, Sydney.
- Mikhail Zhitlukhin, 2018. "Survival investment strategies in a continuous-time market model with competition," Papers 1811.12491, arXiv.org, revised Sep 2019.
- Zeng, Xudong, 2010. "Optimal reinsurance with a rescuing procedure," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 397-405, April.
- Mikhail Zhitlukhin, 2020. "Asymptotic minimization of expected time to reach a large wealth level in an asset market game," Papers 2007.04909, arXiv.org.
- Sergio Ortobelli Lozza & Enrico Angelelli & Alda Ndoci, 2019. "Timing portfolio strategies with exponential Lévy processes," Computational Management Science, Springer, vol. 16(1), pages 97-127, February.
- 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.
- Paolo Guasoni & Jan Obłój, 2016. "The Incentives Of Hedge Fund Fees And High-Water Marks," Mathematical Finance, Wiley Blackwell, vol. 26(2), pages 269-295, April.
- Sergio Ortobelli Lozza & Enrico Angelelli & Daniele Toninelli, 2011. "Set-Portfolio Selection with the Use of Market Stochastic Bounds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 5-24, November.
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Keywords
Numeraire portfolio; growth-optimal portfolio; market time; upcrossing; overshoot; exponential Levy markets; Ito markets; semimartingale markets;All these keywords.
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