haku: @indexterm FINANCIAL THEORY / yhteensä: 142
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| Tekijä: | Bajeux-Besnaijou, I. Portrait, R. |
| Otsikko: | The numeraire portfolio: A new perspective on financial theory |
| Lehti: | European Journal of Finance
1997 : DEC, VOL. 3:4, p. 291-309 |
| Asiasana: | FINANCIAL THEORY EQUILIBRIUM ANALYSIS PRICING PORTFOLIO INVESTMENT GROWTH MARTINGALES |
| Kieli: | eng |
| Tiivistelmä: | The numeraire portfolio allows simple derivations of the main results of financial theory. When the optimal growth portfolio is the numeraire, the prices of self-financing portfolios are martingales in the true historical probability. The composition of the numeraire portfolio as well as its value are easily computable, given the dynamics of the traded securities. The numeraire portfolio is instantaneously mean-variance efficient, which allows a simple derivation of standard continuous-time CAPM, CCAPM, ATP and contingent claim pricing. Since the Radon-Nikodym derivatives of the usual martingale measures are simple functions of the numeraire portfolio the latter provides a convenient link between the probabilistic approach and the standard Capital Market Theory. |
SCIMA