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Portfolio Dynamics

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2004
Published Online:
October 2005
ISBN:
9780199271269
eISBN:
9780191602849
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199271267.003.0006
Subject:
Economics and Finance, Financial Economics

This chapter derives the dynamics of (the value of) a so-called self-financing portfolio; the price dynamics of various assets (e.g. stocks, bonds, financial derivatives) is considered as a given. A ... More


Portfolio Dynamics

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
1998
Published Online:
November 2003
ISBN:
9780198775188
eISBN:
9780191595981
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198775180.003.0005
Subject:
Economics and Finance, Financial Economics

In this chapter, we discuss some basic concepts of portfolio theory, in particular self‐financing portfolios.


Portfolio Dynamics

Tomas Björk

in Arbitrage Theory in Continuous Time

Published in print:
2019
Published Online:
February 2020
ISBN:
9780198851615
eISBN:
9780191886218
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198851615.003.0006
Subject:
Economics and Finance, Econometrics

We introduce the concept of a financial market and define the concept of a self-financing portfolio. The dynamics of a self-financing portfolio is then derived, both in discrete and continuous time. ... More


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