Diversified Portfolios with Jumps in a Benchmark Framework

Eckhard Platen ()

Asia-Pacific Financial Markets, 2004, vol. 11, issue 1, 22 pages

Abstract: This paper considers diversified portfolios in a sequence of jump diffusion market models. Conditions for the approximation of the growth optimal portfolio (GOP) by diversified portfolios are provided. Under realistic assumptions, it is shown that diversified portfolios approximate the GOP without requiring any major model specifications. This provides a basis for systematic use of diversified stock indices as proxies for the GOP in derivative pricing, risk management and portfolio optimization. Copyright Springer Science + Business Media, Inc. 2004

Keywords: benchmark model; diversified portfolio; growth optimal portfolio (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (29)

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DOI: 10.1007/s10690-005-4253-8

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