Instantaneous portfolio theory
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Publication:4554500
DOI10.1080/14697688.2017.1420210zbMath1400.91557OpenAlexW3122043462MaRDI QIDQ4554500
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1420210
Related Items (9)
Calibration for weak variance-alpha-gamma processes ⋮ Lower and upper pricing of financial assets ⋮ Exposure valuations and their capital requirements ⋮ Conic asset pricing and the costs of price fluctuations ⋮ Estimating time-varying risk aversion from option prices and realized returns ⋮ Self-decomposability of weak variance generalised gamma convolutions ⋮ Measure distorted arrival rate risks and their rewards ⋮ Zero covariation returns ⋮ Necessity of weak subordination for some strongly subordinated Lévy processes
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