Optimal portfolio positioning within generalized Johnson distributions
From MaRDI portal
Publication:4555123
DOI10.1080/14697688.2016.1253859zbMath1402.91721MaRDI QIDQ4555123
Naceur Naguez, Jean-Luc Prigent
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_336.pdf
91G10: Portfolio theory
Related Items
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Options and structured products in behavioral portfolios
- Optimal portfolio management with American capital guarantee
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Theory of constant proportion portfolio insurance
- The impact of prudence on optimal prevention
- Portfolio Optimization and Performance Analysis
- The Johnson System: Selection and Parameter Estimation
- Robustness of the Black and Scholes Formula
- Optimal positioning in derivative securities
- Optimal payoffs under state-dependent preferences
- An Empirical Portfolio Perspective on Option Pricing Anomalies*
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
- SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
- White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance