On value preserving and growth optimal portfolios

Mathematical Methods of Operations Research

Volumn 50, Issue 2, 1999, Pages 189-218

  Korn, Ralf ^a   Schäl, Manfred ^b  

^a Rheinland Pfälzische Technische Universität Kaiserslautern Landau   (Germany)

^b UNIVERSITY OF BONN   (Germany)

Author keywords

Growth optimal portfolios; Incomplete financial markets; Interest oriented portfolios; Logarithmic utility; Martingale measure; Minimal martingale measure; Numeraire portfolios; Value preserving portfolios

Indexed keywords

EID: 0000043627     PISSN: 14322994     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001860050095     Document Type: Article

References (36)

1. Artzner P (1997) On the numeraire portfolio. In: Dempster MAH, Pliska SR (eds.) Mathematics of derivative securities, Cambridge Univ. Press, pp. 216-226
2. Becherer D (1999) The numeraire portfolio for unbounded semimartingales. Working paper. Fb. Math., T.U. Berlin
3. Bertsekas D (1974) Necessary and sufficient conditions for existence of an optimal portfolio. J. Econ. Theory 8:235-247
4. Bertsekas D, Shreve SE (1978) Stochastic optimal control: the discrete-time case. Academic Press, New York
5. Brown LD, Purves R (1973) Measurable selection of extrema. Ann. Statist. 1:902-912
6. Conze A, Viswanathan R (1991): Probability Measures and Numeraires. Preliminary unpublished version, Paris
7. Dalang RC, Morton A, Willinger W (1990) Equivalent martingale measures and no-arbitrage in stochastic securities market models. Stochastics and Stochastic Reports 29:185-201
8. Duffie D (1992) Dynamic asset pricing theory. Princeton University Press
9. Föllmer H, Schweizer M (1991) Hedging of contingent claims under incomplete information. In: Davis MHA, Elliot RJ (eds.) Applied stochastic analysis, Stochastic Monographs. 5, Gordon and Breach, London, pp. 389-41
10. Hakansson NH (1971) Optimal entrepreneurial decisions in a completely stochastic environment. Management Science 17:427-449
11. Harrison JM, Kreps DM (1979) Martingales and arbitrage in multiperiod securities markets. J. Economic Theory 20:381-408
12. Harrison JM, Pliska SR (1981) Martingales and stochastic integrals in the theory of continuous trading. Stoch. Processes & Appl. 11:215-260
13. Hellwig K (1989) Flexible Planung und Kapitalerhaltung. Zeitschrift für betriebswirtschaftliche Forschung 5:404-414
14. Hellwig K (1993) A present value approach to the portfolio selection problem. In: Flavell R (ed.) Modelling reality and personal modelling. Contributions to Management Science, Physica, Heidelberg
15. Hellwig K (1996a) Portfolio selection under the condition of value preservation. Review of Quantitative Finance and Accounting 7:299-305
16. Hellwig K (1996b) Intertemporal choice reexamined. Jahrbücher f. Nationalökonomie u. Statistik Vol. 216/2, p. 153-163, Lucius & Lucius, Stuttgart
17. Hellwig K (1996c) Portfolio value management. Discussion papers in Economics, Univ. Ulm
18. Jacod J, Shiryaev AN (1998) Local martingales and the fundamental asset pricing theorems in the discrete-time case. Finance Stochast. 3:259-273
19. Karatzas I, Shreve SE (1988) Brownian motion and stochastic calculus. Springer, New York
20. Karatzas I, Kou SG (1996) On the pricing of contingent claims under constraints. Ann. Appl. Probab. 6:321-369
21. Korn R (1997a) Optimal portfolios. World Scientific, Singapore
22. Korn R (1997b) Value preserving portfolio strategies in continuous-time models. ZOR-MMOR 45:1-42
23. Korn R (1998) Value preserving portfolio strategies and the minimal martingale measure. ZOR-MMOR 47:169-179
24. Long J (1990) The numeraire portfolio. J. Financial Economics 26:29-69
25. Pliska SR (1997) Introduction to mathematical finance. Blackwell Publisher, Malden, USA, Oxford, UK
26. Rogers LCG (1994) Equivalent martingale measures and no-arbitrage. Stochastics and Stochastic Reports 51:41-49
27. Schachermayer W (1992) A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time. Insurance: Mathematics and Economics 11:249-257
28. Schäl M (1974) A selection theorem for optimization problems. Arch. Math. XXV:219-224
29. Schäl M (1995) A market numeraire for a jump process. Working paper, Inst. Angew. Math., Univ. Bonn
30. Schäl M (1998) On the numeraire portfolio and the interest-rate-oriented portfolio in discrete-time financial marktes. Proceedings of the GAMM-meeting (1998), Bremen
31. Schäl M (1999) Martingale measures and hedging for discrete-time financial markets. Math. Oper. Res. 24:509-528
32. Schäl M (1999a) Portfolio optimization and martingale measures. Submitted to Mathematical Finance
33. Schäl M (1999b) Price systems constructed by optimal dynamic portfolios. Working paper, Inst. Angew. Math., Univ. Bonn
34. Schweizer M (1995) Variance-optimal hedging in discrete time. Math. Oper. Res. 20:1-32
35. Wiesemann T (1995a) Wertorientiertes Portfoliomanagement: Ein intertemporales Modell zur Portfoliowerterhaltung. Dissertation, Univ. Ulm
36. Wiesemann T (1995b) Managing a value-preserving portfolio over time. Preprint, to appear in: European Journal of Operations Research