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Martingales and Portfolio Decisions: A User’s Guide

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  • Heinz Zimmermann

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  • Heinz Zimmermann, 2006. "Martingales and Portfolio Decisions: A User’s Guide," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(1), pages 75-101, April.
    • Handle: RePEc:kap:fmktpm:v:20:y:2006:i:1:p:75-101
    DOI: 10.1007/s11408-006-0006-6
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    References listed on IDEAS

    as
    1. Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942.
    2. Stanley R. Pliska, 1986. "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Mathematics of Operations Research, INFORMS, vol. 11(2), pages 371-382, May.
    3. Cox, John C. & Huang, Chi-fu, 1989. "Optimal consumption and portfolio policies when asset prices follow a diffusion process," Journal of Economic Theory, Elsevier, vol. 49(1), pages 33-83, October.
    4. Jaksa Cvitanic & Fernando Zapatero, 2004. "Introduction to the Economics and Mathematics of Financial Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262532654, April.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Dynamic portfolio selection; Martingales; Binomial framework; G11; G13;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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