Portfolio selection and asset pricing under a benchmark approach

Platen, E

Portfolio selection and asset pricing under a benchmark approach

Platen, E

Permalink

Publication Type:: Journal Article
Citation:: Physica A: Statistical Mechanics and its Applications, 2006, 370 (1), pp. 23 - 29
Issue Date:: 2006-10-01

Closed Access

	Filename	Description	Size
	2006004109.pdf		283.25 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2006-10-01	en_US
dc.identifier.citation	Physica A: Statistical Mechanics and its Applications, 2006, 370 (1), pp. 23 - 29	en_US
dc.identifier.issn	0378-4371	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3459
dc.description.abstract	The paper presents classical and new results on portfolio optimization, as well as the fair pricing concept for derivative pricing under the benchmark approach. The growth optimal portfolio is shown to be a central object in a market model. It links asset pricing and portfolio optimization. The paper argues that the market portfolio is a proxy of the growth optimal portfolio. By choosing the drift of the discounted growth optimal portfolio as parameter process, one obtains a realistic theoretical market dynamics. © 2006 Elsevier B.V. All rights reserved.	en_US
dc.relation	http://purl.org/au-research/grants/arc/LP0562470R2
dc.relation.ispartof	Physica A: Statistical Mechanics and its Applications	en_US
dc.relation.isbasedon	10.1016/j.physa.2006.04.036	en_US
dc.subject.classification	Fluids & Plasmas	en_US
dc.title	Portfolio selection and asset pricing under a benchmark approach	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	370	en_US
utslib.for	0105 Mathematical Physics	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	0206 Quantum Physics	en_US
dc.location.activity	Brisbane, Australia
dc.location.activity	Canberra, AUSTRALIA
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.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	370	en_US

Abstract:

The paper presents classical and new results on portfolio optimization, as well as the fair pricing concept for derivative pricing under the benchmark approach. The growth optimal portfolio is shown to be a central object in a market model. It links asset pricing and portfolio optimization. The paper argues that the market portfolio is a proxy of the growth optimal portfolio. By choosing the drift of the discounted growth optimal portfolio as parameter process, one obtains a realistic theoretical market dynamics. © 2006 Elsevier B.V. All rights reserved.

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

http://hdl.handle.net/10453/3459