英文标题：
《On the martingale-fair index of return for investment funds》
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作者：
Leslaw Gajek and Marek Kaluszka
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最新提交年份：
2015
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英文摘要：
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is derived and several properties of this index are shown. In particular, it is proven to be martingale-fair, i.e. be a martingale provided the prices of assets on the financial market form a vector martingale. The problem of merger of the funds is treated in detail.
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中文摘要：
引入了与无套利定价理论相一致的鞅公平收益指数的概念。本文导出了离散时间随机模型中一组投资/养老基金平均收益率的显式公式，并给出了该指数的若干性质。特别是，它被证明是鞅公平的，即如果金融市场上的资产价格形成向量鞅，它就是鞅。基金合并的问题得到了详细的处理。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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