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On the role of the growth optimal portfolio in finance

Platen, Eckhard - In: Australian economic papers 44 (2005) 4, pp. 365-388

Persistent link: https://www.econbiz.de/10003237000

A benchmark approach to filtering in finance

Platen, Eckhard; Runggaldier, Wolfgang J. - In: Asia-Pacific financial markets 11 (2004) 1, pp. 79-105

Persistent link: https://www.econbiz.de/10003084169

A benchmark approach to quantitative finance

Platen, Eckhard; Heath, David C. - 2006 - Softcover reprint of th hardcover 1st edition 2006

Persistent link: https://www.econbiz.de/10003042060

Incomplete information processing : a solution to the forward discount puzzle

Bacchetta, Philippe (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003418285

Approximating the growth optimal portfolio with a diversified world stock index

Le, Truc; Platen, Eckhard - 2006

Persistent link: https://www.econbiz.de/10003384031

A benchmark approach to portfolio optimization under partial information

Platen, Eckhard; Runggaldier, Wolfgang J. - 2007

Persistent link: https://www.econbiz.de/10003437596

Consistent market extensions under the benchmark approach

Filipović, Damir; Platen, Eckhard - 2007

Persistent link: https://www.econbiz.de/10003437600

Pricing under the real-world probability measure for jump-diffusion term structure models

Bruti-Liberati, Nicola; Nikitopoulos, Christina Sklibosios - 2007

Persistent link: https://www.econbiz.de/10003685202

Consistent market extensions under the benchmark approach

Filipović, Damir; Platen, Eckhard - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 41-52

Persistent link: https://www.econbiz.de/10003818203

Can sticky portfolios explain international capital flows and asset prices?

Bacchetta, Philippe; Davenport, Margaret; Van Wincoop, Eric - 2021

Recently portfolio choice has become an important element of many DSGE open economy models. Yet, a substantial body of evidence is inconsistent with standard frictionless portfolio choice models. In this paper we introduce a quadratic cost of changes in portfolio allocation into a two-country...

Persistent link: https://www.econbiz.de/10012800076