Optimal portfolios when stock prices follow an exponential Lévy process

DOI10.1007/s00780-003-0105-4zbMath1051.60049OpenAlexW2004486733MaRDI QIDQ1887262

Susanne Emmer, Claudia Klüppelberg

Publication date: 24 November 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-003-0105-4

zbMATH Keywords

portfolio optimizationLévy processvalue-at-riskstochastic exponentialexponential Lévy processweak limit lawcapital-at-riskdownside risk measure

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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