No Arbitrage and the Growth Optimal Portfolio

By M. Christensen, Kasper Larsen. 2007

65 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/71fdf174afd27989c7e9be872cf3896b14f6e428

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Constantinos Kardaras
2. Ioannis Karatzas
3. Gordan Zitkovic
4. Marcel Nutz
5. Eitan Tadmor

In Finance

1. Constantinos Kardaras
2. Ioannis Karatzas
3. Soumik Pal
4. Marcel Nutz
5. Mykhaylo Shkolnikov
6. Tomoyuki Ichiba
7. Gordan Zitkovic
8. Philip Protter

In Management Science and Operations Research

1. Constantinos Kardaras
2. Ioannis Karatzas
3. Gordan Zitkovic

Citations in the corpus

• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing (2009, unknown): “Remark 5 If the statement of the FTAP of [9] is assumed, one can provide a proof of Theorem 1 using the “change of numéraire” technique of [8]; a similar approach has been taken up in [5].”
• The numéraire portfolio in semimartingale financial models (2007, background): “A similar result appears in Christensen and Larsen [8], where the results of Kramkov and Schachermayer [30] are again used.”
• M-6-On Minimal Market Models and Minimal Martingale Measures (2010, unknown): “I n the above most general form, they are due to [18], but variants and prec ursors can already be found in [21], [3] and [5].”