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The numeraire property and long-term growth optimality for drawdown-constrained investments
numeraire property long-term growth optimality drawdown-constrained investments
2012/9/14
We consider the portfolio choice problem for an investor interested in long-run growth optimality while facing drawdown constraints in a general continuous semimartingale model. The paper introduces t...
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...
Growth-optimal investments and numeraire portfolios under transaction costs: An analysis based on the von Neumann-Gale model
capital growth theory transaction costs numeraire portfolios
2010/11/2
The aim of this work is to extend the capital growth theory devel-oped by Kelly, Breiman, Cover and others to asset market models with transaction costs. We define a natural generalization of the noti...
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...