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- W1602354257 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." @default.
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- W1602354257 date "2015-01-15" @default.
- W1602354257 modified "2023-09-27" @default.
- W1602354257 title "On the average rate of return in a continuous time stochastic model" @default.
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