EVALUATION OF NUMERAIRE PORTFOLIO IN ASSET PRICE

DOI IR (HANDLE)

Bibliographic Information

Other Title
  • ニューメレールポートフォリオの評価

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Description

We investigate the numeraire portfolio and the asset pricing, the change of probability measures. Numeraire portfolio is known as a growth optimal portfolio, which is the portfolio that allows the pricing in the real probability without taking the risk-neutral probability in the pricing of assets. We describe the features of the Numeraire portfolio and indicate price of this portfolio as an example. We consider the relationship of the numeraire portfolio and CAPM in continuous time.

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Details 詳細情報について

  • CRID
    1390290699807353600
  • NII Article ID
    120005524532
  • NII Book ID
    AA12677220
  • DOI
    10.15002/00010359
  • HANDLE
    10114/9609
  • ISSN
    21879923
  • Text Lang
    ja
  • Article Type
    departmental bulletin paper
  • Data Source
    • JaLC
    • IRDB
    • CiNii Articles
  • Abstract License Flag
    Allowed

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