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  • Search: subject:"diversi¯ed portfolio"
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benchmark model 1 diversi¯ed portfolio 1 growth optimal portfolio 1
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Platen, Eckhard 1
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Finance Discipline Group, Business School 1
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Diversified Portfolios with Jumps in a Benchmark Framework
Platen, Eckhard - Finance Discipline Group, Business School - 2004
This paper considers diversifed portfolios in a sequence of jump diffusion market models. Conditions for the approximation of the growth optimal portfolio (GOP) by diversified portfolios are provided. Under realistic assumptions, it is shown that diversified portfolios approximate the GOP...
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