Platen, Eckhard - Finance Discipline Group, Business School - 2008
numeraire portfolio, which turns out to be the portfolio that maximizes expected logarithmic utility. In several ways it will be … shown that the numeraire portfolio cannot be outperformed by any nonnegative portfolio. The new Law of the Minimal Price … leads directly to the real world pricing formula, which uses the numeraire portfolio as numeraire and the real world …