Sass, Jörn; Schäl, Manfred - In: Decisions in Economics and Finance 37 (2014) 2, pp. 195-234
some specific dynamic portfolio called the numeraire portfolio as in the classical case of markets without transaction … costs. For that specific numeraire, P will be a martingale measure. Naturally, the concept of a numeraire portfolio has here … classical case, the numeraire portfolio can be chosen as log-optimal portfolio. The same analysis works for power utility …