Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Levy Processes
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Publication:4409037
DOI10.1111/1467-9965.t01-1-00005zbMath1173.91377OpenAlexW3124579948MaRDI QIDQ4409037
Arne Løkka, Giulia Di Nunno, Fred Espen Benth, Bernt Øksendal, Frank Norbert Proske
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00005
Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)
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