A NOTE ON PORTFOLIO MANAGEMENT UNDER NON-GAUSSIAN LOGRETURNS
DOI10.1142/S0219024901001206zbMATH Open1152.91483OpenAlexW1973021464WikidataQ130196046 ScholiaQ130196046MaRDI QIDQ3523596FDOQ3523596
Authors: Fred Espen Benth, Kristin Reikvam, Kenneth H. Karlsen 
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024901001206
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heavy tailsviscosity solutionintegro-differential equationnormal inverse Gaussian distributionclosed form solutionHamilton--Jacobi--Bellman equationMerton's problemoptimal portfolio and consumptionLévy processes
Cites Work
- Processes of normal inverse Gaussian type
- Optimal Consumption and Portfolio Rules with Durability and Local Substitution
- Term structure models driven by general Lévy processes
- The normal inverse gaussian lévy process: simulation and approximation
- Optimal portfolios for exponential Lévy processes.
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
- Semimartingale representation of fractional Riesz-Bessel motion
Cited In (5)
- Mean Lower Partial Moment Valuation and Lognormally Distributed Returns
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Representative agent pricing of financial assets based on Lévy processes with normal inverse Gaussian marginals
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
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