MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX

DOI10.1142/S0219024904002499zbMath1107.91313OpenAlexW2131633898MaRDI QIDQ3022107

Eckhard Platen

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024904002499

zbMATH Keywords

stochastic volatilitydiversified world stock indexsquare root processgrowth optimal portfoliomarket activitybenchmark model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Continuity and singularity of induced measures (60G30)

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Cites Work

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