The Growth Optimal Portfolio in Continuous Markets
In this paper,we consider a financial market consisting of finite assets.Its not necessary that one asset should be riskless.The existence of growth optimal portfolio (GOP) and the discounted GOPs,when GOP expressed in different assets,are discussed.With the discussions,we obtain that the proportions in both GOP and discounted GOPs must satisfy a uniform expression.Meanwhile,the value processes of the GOPs are computed under different conditions.It is proved that the given probability measure P is the corresponding equivalent martingale measure when GOP is taken as numeraire,while an equivalent martingale measure exists.
Strictly positive It(o) processes growth optimal portfolio numeraire equivalent martingale measures
Meihua Geng Zhiming Jin
Department of System Engineering and Mathematics,NUDT,410073,Hunan,China
国际会议
长沙
英文
210-216
2008-10-28（万方平台首次上网日期，不代表论文的发表时间）