Numeraire markets
Mathematical Finance
2018-01-24 v1
Abstract
In a stock market, the numeraire portfolio, if it exists, is the portfolio with the highest expected logarithmic growth rate at all times. A numeraire market is a stock market for which the market portfolio is the numeraire portfolio. We study open markets, markets comprising the higher capitalization stocks within a broad equity universe. The stocks we consider are represented by continuous semimartingales, and we construct an example of a numeraire market that is asymptotically stable.
Cite
@article{arxiv.1801.07309,
title = {Numeraire markets},
author = {Robert Fernholz},
journal= {arXiv preprint arXiv:1801.07309},
year = {2018}
}
Comments
10 pages, 2 figures