A BENCHMARK APPROACH TO FINANCE

DOI10.1111/j.1467-9965.2006.00265.xzbMath1128.91029MaRDI QIDQ5472781

Eckhard Platen

Publication date: 12 June 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00265.x

zbMATH Keywords

stochastic volatility; capital asset pricing model; efficient frontier; growth optimal portfolio; market portfolio; fair pricing; minimal market model

Mathematics Subject Classification ID

Related Items

CURRENCY DERIVATIVES UNDER A MINIMAL MARKET MODEL WITH RANDOM SCALING, INFORMED OPPORTUNISTIC TRADING AND PRICE OPTIMAL CONTROL, Non-intersecting squared Bessel paths and multiple orthogonal polynomials for modified Bessel weights, Intraday empirical analysis and modeling of diversified world stock indices, From structural assumptions to a link between assets and interest rates, Market selection of constant proportions investment strategies in continuous time, The numéraire portfolio in semimartingale financial models, No Arbitrage and the Growth Optimal Portfolio, CONSISTENT MARKET EXTENSIONS UNDER THE BENCHMARK APPROACH

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