Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes (Q4409037)
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scientific article; zbMATH DE number 1941973
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| English | Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes |
scientific article; zbMATH DE number 1941973 |
Statements
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes (English)
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2003
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minimal variance hedging
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stochastic derivatives
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incomplete markets
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0.7702603936195374
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0.767143964767456
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0.7649635076522827
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0.7613345384597778
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0.7610838413238525
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