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Journal articles (1997), The European Journal of Finance, pp. 291-309

The Numeraire Portfolio: A New Perspective on Financial Theory

BAJEUX-BESNAISNOU I., PORTAIT Roland

The numeraire portfolio (optimal growth portfolio) yields martingale prices under the true probability measure. This property allows an easy derivation of most standard models of financial theory.

BAJEUX-BESNAISNOU, I. and PORTAIT, R. (1997). The Numeraire Portfolio: A New Perspective on Financial Theory. The European Journal of Finance, pp. 291-309.