A Benchmark Approach to Filtering in Finance

Eckhard Platen (eckhard.platen@uts.edu.au) and Wolfgang Runggaldier

No 77, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: The paper proposes the use of the growth optimal portfolio for the construction of financial market models with unobserved factors that have to be filtered. This benchmark approach avoids any measure transformation for the pricing of derivatives. The suggested framework allows to measure the reduction of the variance of derivative prices for increasing degrees of available information.

Keywords: financial modelling; filter methods; benchmark approach; growth optimal portfolio (search for similar items in EconPapers)
JEL-codes: G10 G13 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2002-03-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Published as: Platen, E. and Runggaldier, W., 2002, "A Benchmark Approach to Filtering in Finance", Asia-Pacific Financial Markets, 11(1), 79-105.

Downloads: (external link)
http://www.qfrc.uts.edu.au/research/research_papers/rp77.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://www.qfrc.uts.edu.au/research/research_papers/rp77.pdf [301 Moved Permanently]--> http://www.uts.edu.au/node/51831 [301 Moved Permanently]--> https://www.uts.edu.au/node/51831)

Related works:
Journal Article: A Benchmark Approach to Filtering in Finance (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:77

Access Statistics for this paper

More papers in Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Duncan Ford (duncan.ford@uts.edu.au).