NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE (Q5455262): Difference between revisions

Latest revision as of 19:47, 27 June 2024

scientific article; zbMATH DE number 5258209

Language	Label	Description	Also known as
English	NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE	scientific article; zbMATH DE number 5258209

Statements

instance of

scholarly article

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title

NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR <i>n</i> STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE (English)

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3 April 2008

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9965.2006.00282.x

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cites work

Processes of normal inverse Gaussian type

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

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Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

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Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type

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Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates

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Portfolio optimization with unobservable Markov-modulated drift process

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Q4503250

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Hyperbolic distributions in finance

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Optimal portfolios when stock prices follow an exponential Lévy process

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An optimal consumption model with stochastic volatility

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Q4509488

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A complete explicit solution to the log-optimal portfolio problem.

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Optimum consumption and portfolio rules in a continuous-time model

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Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type

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Q4937701

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A solution approach to valuation with unhedgeable risks

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Identifiers

zbMATH Open document ID

1133.91431

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DOI

10.1111/j.1467-9965.2006.00282.x

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5455262

@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.2006.00282.x
+Normal rank
@@ Property / OpenAlex ID @@
+W2044417422
@@ Property / OpenAlex ID: W2044417422 / rank @@
+Normal rank
@@ Property / cites work @@
+Processes of normal inverse Gaussian type
@@ Property / cites work: Processes of normal inverse Gaussian type / rank @@
+Normal rank
@@ Property / cites work @@
+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
+Normal rank
@@ Property / cites work @@
+Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
+Normal rank
@@ Property / cites work @@
+Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with unobservable Markov-modulated drift process
+Normal rank
@@ Property / cites work @@
+Q4503250
@@ Property / cites work: Q4503250 / rank @@
+Normal rank
@@ Property / cites work @@
+Hyperbolic distributions in finance
@@ Property / cites work: Hyperbolic distributions in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios when stock prices follow an exponential Lévy process
+Normal rank
@@ Property / cites work @@
+An optimal consumption model with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+A complete explicit solution to the log-optimal portfolio problem.
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank