A benchmark approach to investing and pricing

DSpace/Manakin Repository

Search OPUS

Advanced Search


My Account

Show simple item record

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.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
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.
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/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history Closed (ID: 3)

Files in this item

This item appears in the following Collection(s)

Show simple item record