CONIC PORTFOLIO THEORY
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Publication:2806366
DOI10.1142/S0219024916500199zbMath1403.91318OpenAlexW3125733482MaRDI QIDQ2806366
Publication date: 17 May 2016
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024916500199
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (11)
Instantaneous portfolio theory ⋮ Adapted hedging ⋮ Two sided efficient frontiers at multiple time horizons ⋮ Measuring dependence in a set of asset returns ⋮ Now decision theory ⋮ Implied liquidity risk premia in option markets ⋮ Hedging insurance books ⋮ Portfolio theory for squared returns correlated across time ⋮ Zero covariation returns ⋮ Estimation of ask and bid prices for geometric Asian options ⋮ Pricing American options by a Fourier transform multinomial tree in a conic market
Uses Software
Cites Work
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- Two price economies in continuous time
- Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
- Maxmin expected utility with non-unique prior
- Structured products equilibria in conic two price markets
- MARKETS AS A COUNTERPARTY: AN INTRODUCTION TO CONIC FINANCE
- HEDGE FUND PERFORMANCE: SOURCES AND MEASURES
- TENOR SPECIFIC PRICING
- DYNAMIC CONIC FINANCE: PRICING AND HEDGING IN MARKET MODELS WITH TRANSACTION COSTS VIA DYNAMIC COHERENT ACCEPTABILITY INDICES
- The Variance Gamma Process and Option Pricing
- TWO PROCESSES FOR TWO PRICES
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