Optimal investment in a Lévy market (Q2494467)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment in a Lévy market |
scientific article |
Statements
Optimal investment in a Lévy market (English)
0 references
28 June 2006
0 references
Portfolio optimization
0 references
Levy processes
0 references
martingale measures
0 references
replicating portfolios
0 references
incomplete markets
0 references
HARA utility
0 references
