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A benchmark model for financial markets
Platen, Eckhard - 2001
This paper introduces a benchmark model for financial markets, which is based on the unique characterization of a benchmark portfolio that is chosen to be the growth optimal portfolio. The general structure of risk premia for asset prices and portfolios is derived. Furthermore, the short rate is...
Persistent link: https://www.econbiz.de/10009614289
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A benchmark framework for integrated risk management
Platen, Eckhard - 2002
Persistent link: https://www.econbiz.de/10001732760
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - In: International journal of theoretical and applied finance 7 (2004) 4, pp. 511-529
Persistent link: https://www.econbiz.de/10002108812
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A benchmark model for financial markets
Platen, Eckhard - 2001
Persistent link: https://www.econbiz.de/10001606224
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Modeling the volatility and expected value of a diversified world index
Platen, Eckhard - 2003
Persistent link: https://www.econbiz.de/10002250902
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Pricing and hedging for incomplete jump diffusion benchmark models
Platen, Eckhard - 2003
Persistent link: https://www.econbiz.de/10002250936
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Capital asset pricing for markets with intensity based jumps
Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002604969
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On the role of the growth optimal portfolio in finance
Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002604979
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Diversified portfolios with jumps in a benchmark framework
Platen, Eckhard - 2004
Persistent link: https://www.econbiz.de/10002253957
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The law of minimum price
Platen, Eckhard - 2008
Persistent link: https://www.econbiz.de/10003856792