A benchmark approach to investing and pricing

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dc.contributor.author Platen, E
dc.contributor.editor MacLean, LC
dc.contributor.editor Thorp, EO
dc.contributor.editor Ziemba, WT
dc.date.accessioned 2012-02-02T02:50:20Z
dc.date.issued 2011-01
dc.identifier.citation The Kelly Capital Growth Investment Criterion: Theory and Practice, 2011, 1st, pp. 409 - 426
dc.identifier.isbn 978-981-4293-49-5
dc.identifier.other B1 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.
dc.publisher World Scientific Publishing
dc.subject Kelly portfolio, real world pricing, numeroire portfolio, strong arbitrage, diversification.
dc.subject Kelly portfolio, real world pricing, numeroire portfolio, strong arbitrage, diversification.
dc.title A benchmark approach to investing and pricing
dc.type Chapter
dc.parent The Kelly Capital Growth Investment Criterion: Theory and Practice
dc.journal.number en_US
dc.publocation USA en_US
dc.publocation USA
dc.identifier.startpage 409 en_US
dc.identifier.endpage 426 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1402 Applied Economics
dc.personcode 970685 en_US
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.edition 1st en_US
dc.edition 1st
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Kelly portfolio, real world pricing, numeroire portfolio, strong arbitrage, diversification. en_US
dc.description.keywords MicroRNA
dc.description.keywords miR-17
dc.description.keywords miR-17-92
dc.description.keywords Differentiation
dc.description.keywords Gene expression
dc.description.keywords Cancer
dc.description.keywords Kelly portfolio, real world pricing, numeroire portfolio, strong arbitrage, diversification.
dc.staffid en_US
dc.staffid 970685 en_US
pubs.embargo.period Not known
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 Sciences
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance


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