{"entities":{"Q1887262":{"pageid":1898004,"ns":120,"title":"Item:Q1887262","lastrevid":69552987,"modified":"2026-04-13T07:47:30Z","type":"item","id":"Q1887262","labels":{"en":{"language":"en","value":"Optimal portfolios when stock prices follow an exponential L\u00e9vy process"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 2118687"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1887262$F24E75AD-7120-4345-9EE7-A3CC865B8E7C","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"b444acb8c3b67f510fb0abee45a643d60185df22","datavalue":{"value":{"text":"Optimal portfolios when stock prices follow an exponential L\u00e9vy process","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1887262$6338B742-8B1E-4FD7-AC37-858EAD8EAEDF","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"22411ab69e721dc8395328ffb67a1db424eec5ee","datavalue":{"value":"1051.60049","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$FC30CC2F-9C56-438A-8425-DD06C7A9B842","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"ede8f9a1afa9aa1b58a86bae7e6ae22ff5f3657f","datavalue":{"value":{"entity-type":"item","numeric-id":1887261,"id":"Q1887261"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1887262$7890ED18-8934-436F-854B-34DED34E00F6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"b75b5b1bf159c36dc52b96ac45badd444c6d5551","datavalue":{"value":{"entity-type":"item","numeric-id":254502,"id":"Q254502"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1887262$31E1AE4A-8337-4168-9AB1-A479049FDDFD","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"fc3cbe8cf287fdb2a81bc60a8afce4592cfe9e54","datavalue":{"value":{"entity-type":"item","numeric-id":135345,"id":"Q135345"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1887262$CDB93E9C-378E-4DD0-9B17-BF708016333A","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"ec4b272a726b796d54515ee658f8d7370a60e5e8","datavalue":{"value":{"time":"+2004-11-24T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1887262$6D9A3DDE-1F9A-4AD2-A260-4E07C3910403","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"fec5329f697c562e41572f3e8a56650e43c06345","datavalue":{"value":"The authors investigate portfolio optimization problems when the price processes are governed by general exponential L\u00e9vy processes, comparing the optimal solutions with variance and value-at-risk as risk measures, respectively. They introduce a multivariate L\u00e9vy Black-Scholes model and calculate the terminal wealth of a portfolio and its moments provided they exist. Then these results are used for a portfolio optimization that consists of maximizing the expected terminal wealth of a portfolio within a well-defined set of strategies under some constraint on the variance. The notion of capital-at-risk (CaR) is introduced, which is defined via a low quantile (value-at-risk) of the wealth process, and methods for its calculation and approximations are discussed. The portfolios, where the variance is replaced by CaR, are optimized. Real life examples as the normal inverse Gaussian and variance gamma model are worked out. Closed form analytic solutions are not obtained, but the optimization problem is solved by an approximation and numerical algorithm.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$DC7D0547-EE09-41AA-B0E6-8F6E85B4F938","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"6fa38271e9e7d141d1f93caf004b4b7fbd32ad38","datavalue":{"value":"60G51","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$FDF72B50-5998-49B9-AED6-8561B746EABE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7f918b855cc4e1ef3c50dee94916276dca231342","datavalue":{"value":"91G10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$B0803FD0-F872-4D64-A657-6571FE436057","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"06501b652e368cc105ad78a5eac217e38c314cda","datavalue":{"value":"60F05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$284108D6-F03F-48EE-858C-B95D5B4A8FDD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7b2d9cbcdee95a31a6646146f41d5b4b9ff88797","datavalue":{"value":"60E07","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$1113A567-8099-4B15-972B-3C917CC7BA72","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"772afcc76afc6ed455612e61ae15c7b17b2b953a","datavalue":{"value":"60H30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$649DA527-6826-407D-91EE-8473B1C11C69","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4ab83e4aad0d91ff4fa3028b5f306edce46af30b","datavalue":{"value":"91B70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$13EEC688-23C2-46CA-ABBC-4B26AF01CE82","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"d7e9616ca6706e8ce84c64c42e2b782fcf6dc128","datavalue":{"value":"2118687","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$3858A7AC-0427-4B52-A359-C5749E77C600","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"5e718824b522660690db14a71f13fd876c81289e","datavalue":{"value":"capital-at-risk","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$81E1A9E6-3242-46C3-91AD-5A48B71F6A39","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"063e0be62287c4a6a4deef204563d7dc3d0d5db8","datavalue":{"value":"downside risk measure","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$4AE5E500-9826-4708-9360-17F34BCB249D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"fb4e8df37c91b67caccdda24271b4dc605f341ad","datavalue":{"value":"exponential L\u00e9vy process","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$E686B2F9-129D-48BA-BD13-C1F17B0E9E2D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"7040d56c5c4b98f66a1443026a4f2557b0f9a344","datavalue":{"value":"portfolio optimization","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$AB9F53EB-E269-4857-9805-6B9F538A09E4","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"5041b25f368d02d239b148b15c4cf3fb96b2b32c","datavalue":{"value":"stochastic exponential","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$146DE22F-C3E8-4ED5-A935-0D447453AD85","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9effbd77275abc34efef0c019cc670fa9c4fd521","datavalue":{"value":"value-at-risk","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$DE5C278E-CDA4-4B34-9DFB-0ECE447AFA81","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"5d51798780cfe2d08ef7acc2bc62d5e37185ac92","datavalue":{"value":"weak limit law","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$E4BBA2A3-07F9-4B08-B473-6448F501EAFA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"cc1958a97d9837cdc61cfdfcd71dfaa04af1e4e2","datavalue":{"value":"L\u00e9vy process","type":"string"},"datatype":"string"},"type":"statement","id":"Q1887262$1EC52857-ED25-45D0-AE55-A02AA649BC6E","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1887262$025562C2-E93A-438A-B0D1-8E4C0A52AF11","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1887262$9818140C-60AF-4507-BA90-598FD853AAED","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"cc521b0fc7e4e3522b9ca3f051a836cbcf87b902","datavalue":{"value":"https://doi.org/10.1007/s00780-003-0105-4","type":"string"},"datatype":"url"},"type":"statement","id":"Q1887262$2C7ACA4E-532E-4609-9C8F-01C200CD26E3","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"3fe3f327c6ba7358d06b8be23c8c5a36bec350fd","datavalue":{"value":"W2004486733","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$887591B6-8110-4E68-87AC-FBDB543B2C4B","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"0b62c3c9e6146a63c4adcb480d1f0fa87e17f117","datavalue":{"value":"10.1007/S00780-003-0105-4","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1887262$14A7502F-284F-4069-82FC-F5F9A6D09268","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"73f54a35e078d808f3fda16322116a30bd0d4291","datavalue":{"value":{"entity-type":"item","numeric-id":1403170,"id":"Q1403170"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"788144c3bc93f7485d54754aa60603dad3f15e31","datavalue":{"value":{"amount":"+0.94469786","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1887262$C91C4CC1-9642-4AC4-A5F1-8AF528DC5732","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"2185692a2adc9241c9437ab76a651263ecb6d8a6","datavalue":{"value":{"entity-type":"item","numeric-id":4659948,"id":"Q4659948"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"07049e1e4b2d40398bd486b4eac0b4883a7b4919","datavalue":{"value":{"amount":"+0.91074735","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1887262$41C59A70-5A89-4FAA-88BA-871264168035","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"27aa3f047a8db0166683002198dc109158741c04","datavalue":{"value":{"entity-type":"item","numeric-id":2384450,"id":"Q2384450"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"14bde95f89a6124b528309798b8dce855c682d86","datavalue":{"value":{"amount":"+0.9080183","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1887262$3F4837D5-1AF4-49E3-8A74-00F185C5D94F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0a63f889330c6b6b2ed6bcc95174c2af34e8aec8","datavalue":{"value":{"entity-type":"item","numeric-id":2386341,"id":"Q2386341"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"7848fbadd85d4e0c390ba18e8e4da5a67dd48019","datavalue":{"value":{"amount":"+0.9068634","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1887262$C1ADABF1-F1A9-4DCC-85BD-2EC147205539","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"9245d97fad4bf5ebef41d4afc95fbaa5caffb0bf","datavalue":{"value":{"entity-type":"item","numeric-id":1722752,"id":"Q1722752"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"eee7c55abe3bdc581d29b7cb27d535ffab46921d","datavalue":{"value":{"amount":"+0.89335126","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1887262$7F4C79AE-8553-4E3C-A735-6F5EE82CF532","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e4353f54ec75525634b4c54b672747f8f40ae53d","datavalue":{"value":{"entity-type":"item","numeric-id":1636928,"id":"Q1636928"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"85bee384fc9f5c48f4aaa998cad14da56e80d08d","datavalue":{"value":{"amount":"+0.89170766","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1887262$638CD25C-A11A-401D-963C-F7A2DF6D4961","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c70fefca5b85e6e3b014996f2016aa425898a9f4","datavalue":{"value":{"entity-type":"item","numeric-id":5475314,"id":"Q5475314"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"6b1be638b68e7d38b7d89412f4bafcc58cd2d653","datavalue":{"value":{"amount":"+0.8879814","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1887262$02F14B84-71D0-4A4E-A8B7-FED66D37DE83","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e0a6f4c7973ed2db7fb631b1bb599b0667afaf0f","datavalue":{"value":{"entity-type":"item","numeric-id":4561928,"id":"Q4561928"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"bc0282c71be988c33b3e694d850eb83a910a7674","datavalue":{"value":{"amount":"+0.8854518","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"ac3c626774dcd0d16f89557f66586245841a01db","datavalue":{"value":{"entity-type":"item","numeric-id":6767936,"id":"Q6767936"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1887262$96BB17E2-DB64-4CFF-ADBF-9175E16C4634","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Optimal portfolios when stock prices follow an exponential L\u00e9vy process","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Optimal_portfolios_when_stock_prices_follow_an_exponential_L%C3%A9vy_process"}}}}}