A benchmark approach to investing and pricing

Platen, E

A benchmark approach to investing and pricing

Platen, E

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Publisher:: World Scientific Publishing
Publication Type:: Chapter
Citation:: The Kelly Capital Growth Investment Criterion: Theory and Practice, 2011, 1, pp. 409 - 426
Issue Date:: 2011-01

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Field	Value	Language
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.contributor.editor	MacLean, LC	en_US
dc.contributor.editor	Thorp, EO	en_US
dc.contributor.editor	Ziemba, WT	en_US
dc.date.issued	2011-01	en_US
dc.identifier.citation	The Kelly Capital Growth Investment Criterion: Theory and Practice, 2011, 1, pp. 409 - 426	en_US
dc.identifier.isbn	978-981-4293-49-5	en_US
dc.identifier.uri	http://hdl.handle.net/10453/14339
dc.description.abstract	This paper introduces a general market modeling framework, the benchmark appma.chl which assumes the existence of the nume!'raire portfolio. This is the strictly positive portfolio that when used as benchmMk makes all benchmarked non-negati.ve portfolios sllperma.rtinga!es, that is intuitively speaking downward trending or trendless. It can be shQ'Wn to equal the Kelly portfolio, which tna.-"jmiz. es expected logarithmk utility. In several Wa.ys, the KeUy or numeraire portfolio is the "bestll performing portfolio and cannot be outperformed systematically by any other non-negative portfolio. Its use in pricing as nttmeroire leads directly to the real world pricing formula) which employs the real world probability when calculating conditional expectations. In a large regular financial market, the Kelly portfolio is shawn to be approxima.ted by well·divcnrified portfolios.	en_US
dc.publisher	World Scientific Publishing	en_US
dc.relation.ispartof	The Kelly Capital Growth Investment Criterion: Theory and Practice	en_US
dc.title	A benchmark approach to investing and pricing	en_US
dc.type	Chapter
utslib.location	USA	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
utslib.citation.edition	1	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.edition	1	en_US
pubs.place-of-publication	USA	en_US

Abstract:

This paper introduces a general market modeling framework, the benchmark appma.chl which assumes the existence of the nume!'raire portfolio. This is the strictly positive portfolio that when used as benchmMk makes all benchmarked non-negati.ve portfolios sllperma.rtinga!es, that is intuitively speaking downward trending or trendless. It can be shQ'Wn to equal the Kelly portfolio, which tna.-"jmiz. es expected logarithmk utility. In several Wa.ys, the KeUy or numeraire portfolio is the "bestll performing portfolio and cannot be outperformed systematically by any other non-negative portfolio. Its use in pricing as nttmeroire leads directly to the real world pricing formula) which employs the real world probability when calculating conditional expectations. In a large regular financial market, the Kelly portfolio is shawn to be approxima.ted by well·divcnrified portfolios.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/14339