A tractable model for indices approximating the growth optimal portfolio

被引：1
|
作者：
Baldeaux, Jan [1 ]
Ignatieva, Katja [2 ]
Platen, Eckhard [1 ,3 ]
机构：
[1] Univ Technol Sydney, Finance Discipline Grp, Sydney, NSW 2007, Australia
[2] Univ New S Wales, Australian Sch Business, Sch Risk & Actuarial Studies, Sydney, NSW 2052, Australia
[3] Univ Technol Sydney, Sch Math Studies, Sydney, NSW 2007, Australia
来源：
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | 2014年 / 18卷 / 01期
关键词：
growth optimal portfolio; constant elasticity of variance model; kernel estimation; diffusion coefficient function; derivative hedging; DIFFUSION-COEFFICIENT; FUNDAMENTAL THEOREM; TERM STRUCTURE; ARBITRAGE;
D O I：
10.1515/snde-2012-0054
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numeraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance (TCEV) model. The TCEV model has high tractability for a range of derivative prices and fits well the dynamics of a global diversified world equity index. This is confirmed when pricing and hedging various derivatives using this index.
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页码：1 / 21
页数：21
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