M6 - On Minimal Market Models and Minimal Martingale Measures
Year of publication: |
2010-06-01
|
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Authors: | Hulley, Hardy ; Schweizer, Martin |
Institutions: | Finance Discipline Group, Business School |
Subject: | minimal market model' minimal martingale measure | growth-optimal portfolio | numeraire portfolio | NUPBR | structure condition (SC) | continuous local martingales | squared Bessel process of dimension 4 | log-optimal portfolio |
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