A benchmark approach to investing and pricing

UTSePress Research/Manakin Repository

Search UTSePress Research

Advanced Search


My Account

Show simple item record

dc.contributor.author Platen, Eckhard en_US
dc.contributor.editor MacLean, LC; Thorp, E O; Ziemba, WT en_US
dc.date.accessioned 2012-02-02T02:50:20Z
dc.date.available 2012-02-02T02:50:20Z
dc.date.issued 2011 en_US
dc.identifier 2010000858 en_US
dc.identifier.citation Platen Eckhard 2011, 'A benchmark approach to investing and pricing', in NA (ed.), World Scientific Publishing, USA, pp. 409-426. en_US
dc.identifier.issn 978-981-4293-49-5 en_US
dc.identifier.other B1 en_US
dc.identifier.uri http://hdl.handle.net/10453/14339
dc.description.abstract This paper introduces a general market modeling framework, the benchmark appma.chl which assumes the existence of the nume!'raire portfolio. This is the strictly positive portfolio that when used as benchmMk makes all benchmarked non-negati.ve portfolios sllperma.rtinga!es, that is intuitively speaking downward trending or trendless. It can be shQ'Wn to equal the Kelly portfolio, which tna.-"jmiz. es expected logarithmk utility. In several Wa.ys, the KeUy or numeraire portfolio is the "bestll performing portfolio and cannot be outperformed systematically by any other non-negative portfolio. Its use in pricing as nttmeroire leads directly to the real world pricing formula) which employs the real world probability when calculating conditional expectations. In a large regular financial market, the Kelly portfolio is shawn to be approxima.ted by well?divcnrified portfolios. en_US
dc.language en_US
dc.publisher World Scientific Publishing en_US
dc.relation.isbasedon NA en_US
dc.title A benchmark approach to investing and pricing en_US
dc.parent The Kelly Capital Growth Investment Criterion: Theory and Practice en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation USA en_US
dc.identifier.startpage 409 en_US
dc.identifier.endpage 426 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140200 en_US
dc.personcode 970685 en_US
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.edition 1st en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Kelly portfolio, real world pricing, numeroire portfolio, strong arbitrage, diversification. en_US
dc.staffid en_US
dc.staffid 970685 en_US

Files in this item

This item appears in the following Collection(s)

Show simple item record