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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/62771
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Platen, Eckhard | | en_US |
| dc.date.accessioned | | 2012-09-18T13:50:01Z | | - |
| dc.date.available | | 2012-09-18T13:50:01Z | | - |
| dc.date.issued | | 2001 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10050040 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/62771 | | - |
| dc.description.abstract | | 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 obtained as an average of appreciation rates. The benchmark model is shown to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free contingent claim prices is derived. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,52 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | financial market model | | en_US |
| dc.subject.keyword | | contingent claim pricing | | en_US |
| dc.subject.keyword | | benchmark model | | en_US |
| dc.subject.keyword | | growth optimal portfolio | | en_US |
| dc.subject.keyword | | arbitrage amount | | en_US |
| dc.title | | A benchmark model for financial markets | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 725387351 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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