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Martingales and portfolio selection : a user’s guide

Zimmermann, Heinz. (2006) Martingales and portfolio selection : a user’s guide. Financial Markets and Portfolio Management, 20. pp. 75-101.

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Official URL: http://edoc.unibas.ch/dok/A5251260

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Abstract

This article gives an overview and introduction to the Martingale approach to multi-period (dynamic) portfolio decisions. While Martingale pricing techniques have long been used with considerable success in the pricing of derivatives and financial assets in general, their potential to improve the practice of dynamic portfolio decisions is not sufficiently recognized yet. This article shows that the approach is, in principle, not difficult to implement for readers equipped with standard option replication techniques if markets are sufficiently "complete" in order to provide investors with the relevant information about the pricing of financial risks. The article provides a practical guide to implement the basic features of the approach in a binomial framework.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Finanzmarkttheorie (Zimmermann)
UniBasel Contributors:Zimmermann, Heinz
Item Type:Article, refereed
Article Subtype:Research Article
Bibsysno:Link to catalogue
Publisher:Springer
ISSN:1555-4961
Note:Publication type according to Uni Basel Research Database: Journal article
Language:English
Identification Number:
Last Modified:10 Oct 2017 10:04
Deposited On:22 Mar 2012 14:18

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