| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 978531 | Physica A: Statistical Mechanics and its Applications | 2006 | 7 Pages |
Abstract
The paper presents classical and new results on portfolio optimization, as well as the fair pricing concept for derivative pricing under the benchmark approach. The growth optimal portfolio is shown to be a central object in a market model. It links asset pricing and portfolio optimization. The paper argues that the market portfolio is a proxy of the growth optimal portfolio. By choosing the drift of the discounted growth optimal portfolio as parameter process, one obtains a realistic theoretical market dynamics.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Eckhard Platen,