Diversified portfolios with jumps in a benchmark framework

Platen, E

Diversified portfolios with jumps in a benchmark framework

Platen, E

Permalink

Publisher:: Springer
Publication Type:: Journal Article
Citation:: Asia-Pacific Financial Markets, 2005, 11 (1), pp. 1 - 22
Issue Date:: 2005-01

Closed Access

	Filename	Description	Size
	2005001978.pdf		918.5 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	2005-01	en_US
dc.identifier.citation	Asia-Pacific Financial Markets, 2005, 11 (1), pp. 1 - 22	en_US
dc.identifier.issn	1387-2834	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5243
dc.description.abstract	This paper considers diversified portfolios in a sequence of jump diffusion market models. Conditions for the approximation of the growth optimal portfolio (GOP) by diversified portfolios are provided. Under realistic assumptions, it is shown that diversified portfolios approximate GOP without requiring any major model specifications. This provides a basis for systematic use of diversified stock indices as proxies for the GOP in derivative pricing, risk management and portfolio optimisation	en_US
dc.publisher	Springer	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0343913
dc.relation.ispartof	Asia-Pacific Financial Markets	en_US
dc.subject.classification	Finance	en_US
dc.title	Diversified portfolios with jumps in a benchmark framework	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	11	en_US
utslib.for	150201 Finance	en_US
utslib.for	1502 Banking, Finance and Investment	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.issue	1	en_US
pubs.volume	11	en_US

Abstract:

This paper considers diversified portfolios in a sequence of jump diffusion market models. Conditions for the approximation of the growth optimal portfolio (GOP) by diversified portfolios are provided. Under realistic assumptions, it is shown that diversified portfolios approximate GOP without requiring any major model specifications. This provides a basis for systematic use of diversified stock indices as proxies for the GOP in derivative pricing, risk management and portfolio optimisation

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

http://hdl.handle.net/10453/5243