Log-optimal portfolio without NFLVR: existence, complete characterization, and duality (Q5097173)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7573882
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Log-optimal portfolio without NFLVR: existence, complete characterization, and duality |
scientific article; zbMATH DE number 7573882 |
Statements
Log-Optimal Portfolio without NFLVR: Existence, Complete Characterization, and Duality (English)
0 references
22 August 2022
0 references
log-optimal portfolio
0 references
numéraire portfolio
0 references
NFLVR condition
0 references
log-utility
0 references
NUPBR condition
0 references
deflator
0 references
semimartingale model and characteristics
0 references
0 references
0 references
0 references
0 references
0.8298872113227844
0 references
0.8022090792655945
0 references
0.7993590235710144
0 references
0.7847803235054016
0 references
