assumptions of risk neutral pricing. In several ways the numeraire portfolio is the “best” performing portfolio and cannot be …

benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and …

explains how monetary authorities should set the short term interest rate with regard to asset prices, inflation rate, risk …

satisfactorily pricing and hedging extremely long-dated claims. Since they all fall within the ambit of risk-neutral pricing, it is … by the risk-neutral approach itself. To investigate this idea, we present a simple two-parameter model for a diversifed … equity accumulation index. Although our model does not admit an equivalent risk-neutral probability measure, it nevertheless …

numerraire portfolio, as reference unit. The proposed concept of benchmarked risk minimization generalizes classical risk … integrability of contingent claims and the existence of an equivalent risk neutral probability measure. The proposed concept of … benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing …

specify the overall market dynamics, where deflated asset prices appear as martingales. A specific form for the risk premia is … the case of complete and incomplete markets avoiding the use of an equivalent risk neutral measure transformation. …

benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and …