Yan, Jia-an; Zhang, Qiang; Zhang, Shuguang - In: Annals of Economics and Finance 1 (2000) 1, pp. 101-116
It is shown that in a market modeled by a vector-valued semimartingale, when we choose the wealth process of an admissible self-financing strategy as a numeraire such that the historical probability measure becomes a martingale measure, then this numeraire must be the wealth process of a growth...
