Capital asset pricing for markets with intensity based jumps (Q3511643)
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scientific article; zbMATH DE number 5299704
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| English | Capital asset pricing for markets with intensity based jumps |
scientific article; zbMATH DE number 5299704 |
Statements
11 July 2008
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benchmark model
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jump diffusions
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growth optimal portfolio
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market portfolio
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efficient frontier
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Sharpe ratio
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fair pricing
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actuarial pricing
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0.8324202299118042
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0.7949976325035095
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0.7816715240478516
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0.7785065770149231
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