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The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Max-Plus decomposition supermartingales convex order Application American options portfolio insurance
2010/12/17
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expec...
Feasibility of Portfolio Optimization under Coherent Risk Measures
Feasibility Portfolio Optimization Coherent Risk Measures
2010/12/17
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for ...
The numeraire portfolio in semimartingale financial models
portfolio semimartingale financial models
2010/12/17
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with...
We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determi...