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: | Schl M., Korn R. |
Keywords: | portfolio analysis |
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.