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dc.contributor.authorPlaten, Eckharden_US
dc.date.accessioned2012-09-18T13:50:01Z-
dc.date.available2012-09-18T13:50:01Z-
dc.date.issued2001en_US
dc.identifier.piurn:nbn:de:kobv:11-10050040en_US
dc.identifier.urihttp://hdl.handle.net/10419/62771-
dc.description.abstractThis 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.isoengen_US
dc.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 2001,52en_US
dc.subject.jelG10en_US
dc.subject.jelG13en_US
dc.subject.ddc330en_US
dc.subject.keywordfinancial market modelen_US
dc.subject.keywordcontingent claim pricingen_US
dc.subject.keywordbenchmark modelen_US
dc.subject.keywordgrowth optimal portfolioen_US
dc.subject.keywordarbitrage amounten_US
dc.titleA benchmark model for financial marketsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn725387351en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:200152-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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