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Growth optimal portfolios and real world pricing
Thesis (MSc (Mathematics))--Stellenbosch University, 2008.
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| Format: | Thesis |
| Language: | English |
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Stellenbosch : Stellenbosch University
2008
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| _version_ | 1867613738277797888 |
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| access_status_str | Open Access |
| author | Ramarimbahoaka, Dimbinirina |
| author2 | Kopp, Ekkehard |
| author_browse | Kopp, Ekkehard Ramarimbahoaka, Dimbinirina |
| author_facet | Kopp, Ekkehard Ramarimbahoaka, Dimbinirina |
| author_sort | Ramarimbahoaka, Dimbinirina |
| collection | Thesis |
| dc_rights_str_mv | Stellenbosch Universit |
| description | Thesis (MSc (Mathematics))--Stellenbosch University, 2008. |
| format | Thesis |
| id | oai:scholar.sun.ac.za:10019.1/2209 |
| institution | Stellenbosch University (South Africa) |
| language | English |
| last_indexed | 2026-06-10T12:40:54.953Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from SUNScholar — Stellenbosch University Repository |
| publishDate | 2008 |
| publishDateRange | 2008 |
| publishDateSort | 2008 |
| publisher | Stellenbosch : Stellenbosch University |
| publisherStr | Stellenbosch : Stellenbosch University |
| record_format | dspace |
| source_str | SUNScholar — Stellenbosch University Repository |
| spelling | oai:scholar.sun.ac.za:10019.1/2209 Growth optimal portfolios and real world pricing Ramarimbahoaka, Dimbinirina Kopp, Ekkehard Capinski, Maciej Stellenbosch University. Faculty of Science. Dept. of Mathematical Sciences. Growth optimal portfolio Numeraire portfolio Asset pricing Financial market models Dissertations -- Mathematics Theses -- Mathematics Thesis (MSc (Mathematics))--Stellenbosch University, 2008. In the Benchmark Approach to Finance, it has been shown that by taking the Growth Optimal Portfolio as numéraire, a candidate for a pricing derivatives formula under the real world probability can be given. This result allows us to price in an incomplete financial market model. The result comes from two different approaches. In the first approach we use the supermartingale property of portfolios in units of the benchmark portfolio which leads to the fact that an equivalent measure is not needed. In the second approach the numéraire property of the Growth Optimal Portfolio is used. The numéraire portfolio defines an equivalent martingale measure and by change of measure using the Radon-Nikodým derivative, a real world pricing formula is derived which is the same as the one given by the first approach stated above. 2008-11-24T13:10:45Z 2010-06-01T08:43:24Z 2008-11-24T13:10:45Z 2010-06-01T08:43:24Z 2008-12 Thesis http://hdl.handle.net/10019.1/2209 en Stellenbosch Universit application/pdf Stellenbosch : Stellenbosch University |
| spellingShingle | Growth optimal portfolio Numeraire portfolio Asset pricing Financial market models Dissertations -- Mathematics Theses -- Mathematics Ramarimbahoaka, Dimbinirina Growth optimal portfolios and real world pricing |
| title | Growth optimal portfolios and real world pricing |
| title_full | Growth optimal portfolios and real world pricing |
| title_fullStr | Growth optimal portfolios and real world pricing |
| title_full_unstemmed | Growth optimal portfolios and real world pricing |
| title_short | Growth optimal portfolios and real world pricing |
| title_sort | growth optimal portfolios and real world pricing |
| topic | Growth optimal portfolio Numeraire portfolio Asset pricing Financial market models Dissertations -- Mathematics Theses -- Mathematics |
| url | http://hdl.handle.net/10019.1/2209 |
| work_keys_str_mv | AT ramarimbahoakadimbinirina growthoptimalportfoliosandrealworldpricing |