Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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Original languageEnglish
Pages (from-to)101-116
Journal / PublicationAnnals of Economics and Finance
Publication statusPublished - 2000


It is shown that in a market modeled by a vector-valued semimartingale, when we choose the wealth process of an admissible self-financing strategy as a numeraire such that the historical probability measure becomes a martingale measure, then this numeraire must be the wealth process of a growth optimal portfolio. As applications of this result, the growth optimal portfolio in a market driven by a jump-Diffusion-like process or a Lévy process is worked out. Journal of Economic Literature Classication Numbers: G11, G13.

Research Area(s)

  • Growth optimal portfolio, Jump-Diffusion, Lévy process, Martingale measure, Numeraire port-folio, Relative entropy