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Optimal portfolio selection and dynamic benchmark tracking

โœ Scribed by Alexei A. Gaivoronski; Sergiy Krylov; Nico van der Wijst


Book ID
108116764
Publisher
Elsevier Science
Year
2005
Tongue
English
Weight
426 KB
Volume
163
Category
Article
ISSN
0377-2217

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โœ Eckhard Platen ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 152 KB

The paper presents classical and new results on portfolio optimization, as well as the fair pricing concept for derivative pricing under the benchmark approach. The growth optimal portfolio is shown to be a central object in a market model. It links asset pricing and portfolio optimization. The pape