Optimal investment in a Lévy market (Q2494467)
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scientific article; zbMATH DE number 5036567
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal investment in a Lévy market |
scientific article; zbMATH DE number 5036567 |
Statements
Optimal investment in a Lévy market (English)
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28 June 2006
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Portfolio optimization
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Levy processes
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martingale measures
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replicating portfolios
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incomplete markets
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HARA utility
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0.8670377135276794
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0.8472592234611511
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0.8467413783073425
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0.8328672647476196
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0.8288615942001343
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