The returns and risks of investment portfolio in a financial market
From MaRDI portal
Publication:1782838
DOI10.1016/J.PHYSA.2014.03.005zbMath1402.91710OpenAlexW2038320704MaRDI QIDQ1782838
Jiang-Cheng Li, Dong-Cheng Mei
Publication date: 20 September 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2014.03.005
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Role of noise in a market model with stochastic volatility
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- Elements for a theory of financial risks
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Generalized autoregressive conditional heteroscedasticity
- Comparison between the probability distribution of returns in the Heston model and empirical data for stock indexes
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- The risks and returns of stock investment in a financial market
- A Theory of the Term Structure of Interest Rates
- VOLATILITY EFFECTS ON THE ESCAPE TIME IN FINANCIAL MARKET MODELS
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Probability distribution of returns in the Heston model with stochastic volatility*
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Introduction to Econophysics
This page was built for publication: The returns and risks of investment portfolio in a financial market
