On value preserving and growth optimal portfolios

On value preserving and growth optimal portfolios

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Article ID: iaor20002165
Country: Germany
Volume: 50
Issue: 2
Start Page Number: 189
End Page Number: 218
Publication Date: Jan 1999
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors: ,
Keywords: portfolio analysis
Abstract:

In a discrete-time financial market setting, the paper relates various concepts introduced for dynamic portfolios (both in discrete and in continuous time). These concepts are: value preserving portfolios, numeraire portfolios, interest oriented portfolios, and growth optimal portfolios. It will turn out that these concepts are all associated with a unique martingale measure which agrees with the minimal martingale measure only for complete markets.

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