Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62771 
Autor:innen: 
Erscheinungsjahr: 
2001
Schriftenreihe/Nr.: 
SFB 373 Discussion Paper No. 2001,52
Verlag: 
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
financial market model
contingent claim pricing
benchmark model
growth optimal portfolio
arbitrage amount
JEL: 
G10
G13
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
262.14 kB





Publikationen in EconStor sind urheberrechtlich geschützt.