Abstract
In this article we consider the risk neutral dynamics of a certain, stochastic capital market model and introduce a new, real-world measure induced by a risk premium process. With respect to that new measure, there exists a distinguished self-financing portfolio process (Growth Optimal Portfolio). The aim of the present article is then to answer the following question: Are there any compatibility conditions for the risk premium process so that the Growth Optimal Portfolio is the right deflator for pricing derivatives with respect to the real-world measure in a market consistent way?
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