Value preserving strategies and a general framework for local approaches to optimal portfolios

Mathematical Finance

Volumn 10, Issue 2, 2000, Pages 227-241

  Korn, Ralf ^a  

^a Rheinland Pfälzische Technische Universität Kaiserslautern Landau   (Germany)

Author keywords

Incomplete markets; Martingale measures; Num raire; Value preserving strategies

Indexed keywords

EID: 0034404932     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00091     Document Type: Article

References (21)

1. BECHERER, D. (1999): The Numeraire Portfolio for Unbounded Semimartingales, Working paper, TU Berlin.
2. CONZE, A., and R. VISWANATHAN (1991): Probability Measures and Numeraires, Working paper.
3. Cox, J., and C. HUANG (1989): Optimum Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process, J. Econ. Theory 49, 33-83.
4. FÖLLMER H., and M. SCHWEIZER (1991): Hedging of Contingent Claims Under Incomplete Information; in: Applied Stochastic Analysis, eds. M. H. A. Davis and R. J. Elliot. London: Gordon and Breach.
5. HELLWIG, K. (1987): Bewertung von Ressourcen. Heidelberg: Physica Verlag.
6. HELLWIG, K. (1993): Intertemporal Choice Reexamined, Discussion Papers in Economics, University of Ulm.
7. HELLWIG, K. (1998): Creating value, Discussion Papers in Economics, University of Ulm.
8. KARATZAS, I., J. LEHOCZKY, and S. SHREVE (1987): Optimal Portfolio and Consumption Decisions for a Small Investor on a Finite Horizon, SIAM J. Control Opt. 25, 1557-1586.
9. KARATZAS, I., and S. SHREVE (1998): Methods of Mathematical Finance. New York: Springer.
10. KORN, R. (1997a): Optimal Portfolios. Singapore: World Scientific.
11. KORN, R. (1997b): Value Preserving Portfolio Strategies in Continuous-Time Models, 45(1), 1-43.
12. KORN, R. (1998): Value Preserving Portfolio Strategies and the Minimal Martingale Measure, 47(2), 169-179.
13. KORN, R., and M. SCHÄL (1999): On Value Preserving and Growth Optimal Portfolios, 50(2), 189-218.
14. KRAMKOV, D., and W. SCHACHERMAYER (1997): The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets, Working paper.
15. LONG, J. (1990): The Numeraire Portfolio, J. Finance 44, 205-209.
16. MERTON, R. (1990): Continuous Time Finance. Oxford: Blackwell.
17. PLISKA, S. (1986): A Stochastic Calculus Model for Continuous Trading: Optimal Portfolios, MOR 11, 371-382.
18. SCHÄL, M. (1995): A Market Numeraire for a Jump Process, Working paper, University of Bonn.
19. SCHÄL, M. (1998): On the Numeraire Portfolio and the Interest-Rate-Oriented Portfolio in Discrete-Time Financial Markets, Proceedings of the GAMM-meeting 1998, Bremen.
20. SCHWEIZER, M. (1995): On the Minimal Martingale Measure and the Föllmer-Schweizer Decomposition, Stock. Analysis Appl. 13, 573-599.
21. WIESEMANN, T. (1995): Wertorientiertes Portfoliomanagement: Ein Modell zur intertemporalen Portfoliowerterhaltung, Doctoral dissertation, University of Ulm.