On the average rate of return in a continuous time stochastic model
Probability
2016-10-31 v1
Abstract
In a discrete time stochastic model of a pension investment funds market Gajek and Kaluszka(2000a) have provided a definition of the average rate of return which satisfies a set of economic correctnes postulates. In this paper the average rate of return is defined for a continuous time stochastic model of the market. The prices of assets are modeled by the multidimensional geometrical Brownian motion. A martingale property of the average rate of return is proven.
Keywords
Cite
@article{arxiv.1501.03772,
title = {On the average rate of return in a continuous time stochastic model},
author = {Leslaw Gajek and Marek Kaluszka},
journal= {arXiv preprint arXiv:1501.03772},
year = {2016}
}
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12 pages