Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process

Jia-an Yan (), Qiang Zhang () and Shuguang Zhang ()
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Jia-an Yan: Inst. of Applied Math., Academy of Mathematics and Systems Science, Academia Sinica
Qiang Zhang: Dept. of Economics and Finance, City University of Hong Kong
Shuguang Zhang: Dept. of Stat. & Finance, University of Science and Technology of China

Annals of Economics and Finance, 2000, vol. 1, issue 1, 101-116

Abstract: It is shown that in a market modeled by a vector-valued semimartingale, when we choose the wealth process of an admissible self-financing strategy as a numeraire such that the historical probability measure becomes a martingale measure, then this numeraire must be the wealth process of a growth optimal portfolio. As applications of this result, the growth optimal portfolio in a market driven by a jump-diffusion-like process or a Levy process is worked out.

Keywords: Jump-diffusion; Levy process; Martingale measure; Numeraire portfolio; Growth optimal portfolio; Relative entropy (search for similar items in EconPapers)
JEL-codes: G11 G13 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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