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Applied Economics Letters Volume 29, 2022 - Issue 16
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Research Article

Benchmark, relative return, and asset pricing

Claude BergeronSchool of Business Administration, Teluq University, Quebec, CanadaCorrespondence[email protected]
Pages 1498-1503 | Published online: 14 Jun 2021

References

  • Campbell, J. Y. 2018. Financial Decisions and Markets. Princeton: University Press.
  • Curchiero, C., W. Schachermayer, and T. K. Wong. 2019. “Covers’s Universal Portfolio, Stochastic Portfolio Theory, and the Numéraire Portfolio.” Mathematical Finance 29 (3): 713–803.
  • Du, K., and E. Platen. 2016. “Benchmarked Risk Minimization.” Mathematical Finance 26 (3): 617–637. doi:10.1111/mafi.12065.
  • Karatzas, E., and C. Kardaras. 2007. “The Numéraire Portfolio in Semimartingale Financial Models.” Finance and Stochastics 11 (4): 47–493. doi:10.1007/s00780-007-0047-3.
  • Lintner, J. 1965. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” ˮ Review of Economics and Statistics 47 (1): 13–37. doi:10.2307/1924119.
  • Platen, E. 2006. “A Benchmark Approach to Finance.” Mathematical Finance 16 (1): 131–151. doi:10.1111/j.1467-9965.2006.00265.x.
  • Platen, E., and D. Heath. 2006. A Benchmark Approach to Quantitative Finance. Berlin: Springer Finance, Springer.
  • Platen, E., and R. Rendek. 2012. “Approximating the Numéraire Portfolio by Naïve Diversification.” Journal of Asset Management 13 (1): 34–59. doi:10.1057/jam.2011.36.
  • Sharpe, W. F. 1964. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” The Journal of Finance 19 (3): 425–442.

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