CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH

DOI10.1111/J.1467-9965.2008.00356.XMaRDI QIDQ3608734zbMATHOpenAlexFDO

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

zbMATH Keywords

growth optimal portfoliomarket extensionthree fund separation theorem

Mathematics Subject Classification ID

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Cites work

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

Cited in

(10)

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

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