Abstract.
In a discrete-time financial market setting, the paper relates various concepts introduced for dynamic portfolios (both in discrete and in continuous time). These concepts are: value preserving portfolios, numeraire portfolios, interest oriented portfolios, and growth optimal portfolios. It will turn out that these concepts are all associated with a unique martingale measure which agrees with the minimal martingale measure only for complete markets.
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Korn, R., Schäl, M. On value preserving and growth optimal portfolios. Mathematical Methods of OR 50, 189–218 (1999). https://doi.org/10.1007/s001860050095
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DOI: https://doi.org/10.1007/s001860050095