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The numeraire portfolio for unbounded semimartingales |
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| Authors: | Dirk Becherer |
| Institution: | Technische Universit?t Berlin, Mathematik, MA 7-4, Str. des 17. Juni 136, 10623 Berlin, Germany (e-mail: becherer@math.tu-berlin.de ), DE |
| Abstract: | |
| Keywords: | : Numeraire portfolio change of numeraire martingale measures growth optimal portfolio relative entropy |
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