18 citations · 65 across the 31 of their papers we have counts for
5 papers · 1 filter
Market Efficiency and Growth Optimal Portfolio
Eckhard Platen, Renata Rendek
The paper predicts an Efficient Market Property for the equity market, where stocks, when denominated in units of the growth optimal portfolio (GP), have zero instantaneous expecte…
Investing for the Long Run
Dietmar Leisen, Eckhard Platen
This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized st…
The numeraire property and long-term growth optimality for drawdown-constrained investments
Constantinos Kardaras, Jan Obloj, Eckhard Platen
We consider the portfolio choice problem for a long-run investor in a general continuous semimartingale model. We suggest to use path-wise growth optimality as the decision criteri…
Minimizing the expected market time to reach a certain wealth level
Constantinos Kardaras, Eckhard Platen
In a financial market model, we consider variations of the problem of minimizing the expected time to upcross a certain wealth level. For exponential Levy markets, we show the asym…
Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading
Constantinos Kardaras, Eckhard Platen
A financial market model with general semimartingale asset-price processes and where agents can only trade using no-short-sales strategies is considered. We show that wealth proces…