The numeraire portfolio for unbounded semimartingales
Year of publication: |
2001-07-12
|
---|---|
Authors: | Becherer, Dirk |
Published in: |
Finance and Stochastics. - Springer. - Vol. 5.2001, 3, p. 327-341
|
Publisher: |
Springer |
Subject: | Numeraire portfolio | change of numeraire | martingale measures | growth optimal portfolio | relative entropy |
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