A benchmark approach to finance

Publisher:
Blackwell Publishing
Publication Type:
Journal Article
Citation:
Mathematical Finance, 2006, 16 (1), pp. 131 - 151
Issue Date:
2006-01
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This paper derives a unified framework for portfolio optimization, derivative pricing, financial modeling, and risk measurement. It is based on the natural assumption that investors prefer more rather than less, in the sense that given two portfolios wit
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