A note on log-optimal portfolios in exponential Lévy markets
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Publication:4659948
DOI10.1524/stnd.22.3.225.57066zbMath1084.91014OpenAlexW2274316087MaRDI QIDQ4659948
Publication date: 21 March 2005
Published in: Statistics & Decisions (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1524/stnd.22.3.225.57066
Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Utility theory (91B16)
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