A tractable model for indices approximating the growth optimal portfolio
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Publication:5404067
DOI10.1515/snde-2012-0054zbMath1283.91198MaRDI QIDQ5404067
Katja Ignatieva, Jan Baldeaux, Eckhard Platen
Publication date: 21 March 2014
Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/36416
kernel estimation; constant elasticity of variance model; diffusion coefficient function; growth optimal portfolio; derivative hedging
62G07: Density estimation
91G70: Statistical methods; risk measures
91G20: Derivative securities (option pricing, hedging, etc.)
91G10: Portfolio theory
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