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

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Status	已发表Published
Title	Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process
Creator	Yan, Jia'an 1; Zhang, Qiang2 ; Zhang, Shuguang 3
Date Issued	2000
Source Publication	Annals of Economics and Finance
ISSN	1529-7373
Volume	1 Issue:1 Pages:101-116
Abstract	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.
Keyword	Growth optimal portfolio Jump-Diffusion Lévy process Martingale measure Numeraire port-folio Relative entropy
URL	View source
Language	英语English
Original Document Type	Article
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Document Type	Journal article
Identifier	http://repository.uic.edu.cn/handle/39GCC9TT/2232
Collection	Research outside affiliated institution
Affiliation	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
Recommended Citation 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.

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