Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus

DOI10.1080/17442508.2015.1132218zbMath1411.91499OpenAlexW2346755573MaRDI QIDQ2974855

Nils Chr. Framstad

Publication date: 11 April 2017

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/61812

zbMATH Keywords

Lévy processesincomplete marketselliptical distributionsstochastic dominancerisk managementportfolio constraintsmutual fund theoremportfolio separation(Lévy-Pareto) \(\alpha\)-stable

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inequalities; stochastic orderings (60E15) Stochastic integrals (60H05) Portfolio theory (91G10)

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