Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process

科研成果详情

发表状态	已发表Published
题名	Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process
作者	Yan, Jia'an 1; Zhang, Qiang2 ; Zhang, Shuguang 3
发表日期	2000
发表期刊	Annals of Economics and Finance
ISSN/eISSN	1529-7373
卷号	1 期号:1 页码:101-116
摘要	It is shown that in a market modeled by a vector-valued semimartingale, when we choose the wealth process of an admissible self-financing strategy as a numeraire such that the historical probability measure becomes a martingale measure, then this numeraire must be the wealth process of a growth optimal portfolio. As applications of this result, the growth optimal portfolio in a market driven by a jump-Diffusion-like process or a Lévy process is worked out. © 2000 by Peking University Press All rights of reproduction in any form reserved.
关键词	Growth optimal portfolio Jump-Diffusion Lévy process Martingale measure Numeraire port-folio Relative entropy
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语种	英语English
原始文献类型	Article
引用统计
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/2232
专题	个人在本单位外知识产出
作者单位	1.Inst. of Applied Math., Academy of Mathematics and Systems Science, Academia Sinica, Beijing, 100080, China 2.Dept. of Economics and Finance, City University of Hong Kong, 83 Tat Chee Avenue, Kowloon, Hong Kong 3.Dept. of Stat. & Finance, University of Science and Technology of China, Hefei, 230026, China
推荐引用方式 GB/T 7714	Yan, Jia'an,Zhang, Qiang,Zhang, Shuguang. Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process[J]. Annals of Economics and Finance, 2000, 1(1): 101-116.
APA	Yan, Jia'an, Zhang, Qiang, & Zhang, Shuguang. (2000). Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process. Annals of Economics and Finance, 1(1), 101-116.
MLA	Yan, Jia'an,et al."Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process". Annals of Economics and Finance 1.1(2000): 101-116.