The numéraire portfolio in semimartingale financial models
Year of publication: |
2007
|
---|---|
Authors: | Karatzas, Ioannis ; Kardaras, Constantinos |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 11.2007, 4, p. 447-493
|
Subject: | Portfolio-Management | Portfolio selection | Bewertung | Evaluation | Martingal | Martingale | Theorie | Theory |
-
The numeraire portfolio for unbounded semimartingales
Becherer, Dirk, (2001)
-
Generic existence and robust nonexistence of numéraires in finite dimensional securities markets
Girotto, Bruno, (2000)
-
On honest times in financial modeling
Nikeghbali, Ashkan, (2008)
- More ...
-
Optional Decomposition for continuous semimartingales under arbitrary filtrations
Karatzas, Ioannis, (2015)
-
Diversity and relative arbitrage in equity markets
Fernholz, Robert, (2005)
-
The numéraire portfolio in semimartingale financial models
Karatzas, Ioannis, (2007)
- More ...