Portfolio selection and asset pricing under a benchmark approach

Elsevier Science Bv
Publication Type:
Journal Article
Physica A: Statistical Mechanics And Its Applications, 2006, 370 (1), pp. 23 - 29
Issue Date:
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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 asse
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