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dc.contributor.authorPlaten, Eckharden
dc.date.accessioned2012-09-18T13:50:01Z-
dc.date.available2012-09-18T13:50:01Z-
dc.date.issued2001-
dc.identifier.piurn:nbn:de:kobv:11-10050040en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2001,52en
dc.subject.jelG10en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordfinancial market modelen
dc.subject.keywordcontingent claim pricingen
dc.subject.keywordbenchmark modelen
dc.subject.keywordgrowth optimal portfolioen
dc.subject.keywordarbitrage amounten
dc.titleA benchmark model for financial markets-
dc.typeWorking Paperen
dc.identifier.ppn725387351en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200152en

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