A Tractable Model for Indices Approximating the Growth Optimal Portfolio

The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the num eraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance (TCEV) model. The TCEV model has high tractability for a range of derivative prices and fits well the dynamics of a global diversified world equity index. This is confirmed when pricing and hedging various derivatives using this index

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Year of publication:	2014
Authors:	Baldeaux, Jan F.
Other Persons:	Ignatieva, Ekaterina (contributor) ; Platen, Eckhard (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Mathematische Optimierung \| Mathematical programming

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