  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.

Probability