A tractable model for indices approximating the growth optimal portfolio (Q5404067)
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scientific article; zbMATH DE number 6272022
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| English | A tractable model for indices approximating the growth optimal portfolio |
scientific article; zbMATH DE number 6272022 |
Statements
A tractable model for indices approximating the growth optimal portfolio (English)
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21 March 2014
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growth optimal portfolio
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constant elasticity of variance model
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kernel estimation
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diffusion coefficient function
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derivative hedging
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0.7930519580841064
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0.7750917077064514
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0.763654351234436
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0.7533536553382874
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0.7436726093292236
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