Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets

DOI10.1016/J.EJOR.2016.01.050MaRDI QIDQ322955zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

simulationfinanceasymmetric informationoptimal portfoliomispricing

Mathematics Subject Classification ID

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

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Cites work

• A Model of Intertemporal Asset Prices Under Asymmetric Information
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• A dynamic programming approach to constrained portfolios
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• Asymmetric information in fads models
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• Portfolio selection in stochastic markets with HARA utility functions
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Selecting portfolios with fixed costs and minimum transaction lots
• The Variance Gamma Process and Option Pricing

Cited in

(3)

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

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