Author:
Baldeaux Jan,Ignatieva Katja,Platen Eckhard
Abstract
AbstractThe growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numéraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance (TCEV) model. The TCEV model has high tractability for a range of derivative prices and fits well the dynamics of a global diversified world equity index. This is confirmed when pricing and hedging various derivatives using this index.
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis
Reference102 articles.
1. Investment Policies for Expanding Business Optimal in a Long Run Sense;Breiman;Naval Research Logistics Quarterly,1960
2. Pricing with a Smile Risk Magazine;Dupire,1994
3. Nonparametric Estimates of Multivariate Probability Density Theory of Probability and Applications;Epanechnikov,1969
4. Estimating the Diffusion Coefficient Function for a Diversified World Stock Index;Ignatieva;Computational Statistics Data Analysis,2012
5. Nonparametric Estimation of the Diffusion Coeffcient of a Diffusion Process Stochastic Analysis and;Soulier;Applications,1998
Cited by
9 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献