On value preserving and growth optimal portfolios
نویسندگان
چکیده
In a discrete-time financial market setting, the paper relates various concepts introduced for dynamic portfolios (both in discrete and in continuous time). These concepts are: value preserving portfolios, numeraire portfolios, interest oriented portfolios, and growth optimal portfolios. It will turn out that these concepts are all associated with a unique martingale measure which agrees with the minimal martingale measure only for complete markets.
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عنوان ژورنال:
- Math. Meth. of OR
دوره 50 شماره
صفحات -
تاریخ انتشار 1999