Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets

DOI10.1016/J.EJOR.2016.01.050zbMATH Open1348.91282OpenAlexW2253650278MaRDI QIDQ322955FDOQ322955

Authors: Winston Buckley, Hongwei Long, Mario Marshall 

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.01.050

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• A discontinuous mispricing model under asymmetric information
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• Optimal portfolios when stock prices follow an exponential Lévy process
• Optimal investment in a Lévy market

zbMATH Keywords

simulationfinanceasymmetric informationoptimal portfoliomispricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Cites Work

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Cited In (3)

• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
• A discontinuous mispricing model under asymmetric information
• m-Double Poisson Lévy markets

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