18 citations · 65 across the 31 of their papers we have counts for
Showing 2017 · q-fin.PMShow all
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q-fin.PM2017
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…
q-fin.PM2017
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…