CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH

DOI10.1111/J.1467-9965.2008.00356.XzbMATH Open1155.91382OpenAlexW2134372777MaRDI QIDQ3608734FDOQ3608734

Authors: Damir Filipović, Eckhard Platen 

Publication date: 6 March 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-02/QFR-rp189.pdf

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zbMATH Keywords

growth optimal portfoliomarket extensionthree fund separation theorem

Mathematics Subject Classification ID

Cites Work

• The numeraire portfolio for unbounded semimartingale
• A BENCHMARK APPROACH TO FINANCE

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• On the history of the growth-optimal portfolio
• Ramsey rule with forward/backward utility for long-term yield curves modeling
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• A stochastic control perspective on term structure models with roll-over risk
• A market interpretation of the proportional extended core
• No Arbitrage and the Growth Optimal Portfolio
• Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
• Approximating the growth optimal portfolio and stock price bubbles
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling

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