Portfolio selection and asset pricing under a benchmark approach

被引：3

作者：

Platen, Eckhard ^{[1
]}

机构：

[1] Univ Technol Sydney, Sch Finance & Econ, Broadway, NSW 2007, Australia

[2] Univ Technol Sydney, Dept Math Sci, Broadway, NSW 2007, Australia

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2006年 / 370卷 / 01期

关键词：

financial market modeling; benchmark approach; growth optimal portfolio; portfolio optimization; fair pricing; minimal market model;

D O I：

10.1016/j.physa.2006.04.036

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The paper presents classical and new results on portfolio optimization, as well as the fair pricing concept for derivative pricing under the benchmark approach. The growth optimal portfolio is shown to be a central object in a market model. It links asset pricing and portfolio optimization. The paper argues that the market portfolio is a proxy of the growth optimal portfolio. By choosing the drift of the discounted growth optimal portfolio as parameter process, one obtains a realistic theoretical market dynamics. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：23 / 29

页数：7

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