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The numéraire portfolio in semimartingale financial models

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  • Ioannis Karatzas
  • Constantinos Kardaras

Abstract

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Suggested Citation

  • Ioannis Karatzas & Constantinos Kardaras, 2007. "The numéraire portfolio in semimartingale financial models," Finance and Stochastics, Springer, vol. 11(4), pages 447-493, October.
    • Handle: RePEc:spr:finsto:v:11:y:2007:i:4:p:447-493
    DOI: 10.1007/s00780-007-0047-3
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    References listed on IDEAS

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    1. Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151, January.
    2. Thomas Goll & Ludger Rüschendorf, 2001. "Minimax and minimal distance martingale measures and their relationship to portfolio optimization," Finance and Stochastics, Springer, vol. 5(4), pages 557-581.
    3. Föllmer, Hans & Kramkov, D. O., 1997. "Optional decompositions under constraints," SFB 373 Discussion Papers 1997,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    4. Ioannis Karatzas & John P. Lehoczky & Steven E. Shreve, 1991. "Equilibrium Models With Singular Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 1(3), pages 11-29, July.
    5. Robert Fernholz & Ioannis Karatzas, 2005. "Relative arbitrage in volatility-stabilized markets," Annals of Finance, Springer, vol. 1(2), pages 149-177, November.
    6. Schweizer, Martin, 1999. "A minimality property of the minimal martingale measure," Statistics & Probability Letters, Elsevier, vol. 42(1), pages 27-31, March.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Numéraire portfolio; Semimartingale; Predictable characteristics; Free lunch; Supermartingale deflator; Log-utility; 60H05; 60H30; 91B28; G11;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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