On the average rate of return in a continuous time stochastic model

Leslaw Gajek; Marek Kaluszka

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arXiv · 1501.03772

On the average rate of return in a continuous time stochastic model

Leslaw Gajek·Marek Kaluszka

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Abstract

In a discrete time stochastic model of a pension investment funds market Gajek and Kaluszka(2000a) have provided a definition of the average rate of return which satisfies a set of economic correctnes postulates. In this paper the average rate of return is defined for a continuous time stochastic model of the market. The prices of assets are modeled by the multidimensional geometrical Brownian motion. A martingale property of the average rate of return is proven.

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Leslaw Gajek, Marek Kaluszka. 2015-01-15. On the average rate of return in a continuous time stochastic model. https://arxiv.org/abs/1501.03772

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