Chapter

Portfolio Dynamics

Tomas Björk

in Arbitrage Theory in Continuous Time

Second edition

Published in print March 2004 | ISBN: 9780199271269
Published online October 2005 | e-ISBN: 9780191602849 | DOI: http://dx.doi.org/10.1093/0199271267.003.0006

Series: Oxford Finance Series

Portfolio Dynamics

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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 model is first studied in discrete time. The length of time is then tended to zero to obtain the continuous time analogs. A practice exercise is included.

Keywords: self-financing portfolio; portfolio dynamics; price dynamics; discrete time; continuous time; dividends

Chapter.  3042 words. 

Subjects: Financial Markets

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