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Latest revision as of 11:38, 7 July 2024

scientific article; zbMATH DE number 6272022
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English
A tractable model for indices approximating the growth optimal portfolio
scientific article; zbMATH DE number 6272022

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    A tractable model for indices approximating the growth optimal portfolio (English)
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    21 March 2014
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    growth optimal portfolio
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    constant elasticity of variance model
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    kernel estimation
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    diffusion coefficient function
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    derivative hedging
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