Glossary

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Portfolio

Let {S(t)}, t≥0 be an N-dimensional price process.
  1. A portfolio {h(t)}, t≥0 is an N-dim adapted process.
  2. The corresponding value process {Vh(t)}, t≥0 is given by
    Vh(t)=ni=1 hi(t)Si(t)
  3. A portfolio is self-financing if
    Vh(t+Δ)- Vh(t)=ni=1 hi(t)(Si(t+Δ)-Si(t)) (discrete time)
    dVh(t)=ni=1 hi(t)dSi(t) (continuous time)

 

Questions: Magnus Wiktorsson
Last update: 2009 Nov 11 13:32:34. Validate: HTML CSS

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