A tractable model for indices approximating the growth optimal portfolio

DOI10.1515/SNDE-2012-0054MaRDI QIDQ5404067zbMATH OpenOpenAlexFDO

Authors Jan Baldeaux, Katja Ignatieva, Eckhard Platen

Publication date 21 March 2014

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/36416

zbMATH Keywords

kernel estimationconstant elasticity of variance modeldiffusion coefficient functiongrowth optimal portfolioderivative hedging

Mathematics Subject Classification ID

Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• On the history of the growth-optimal portfolio
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• Intraday empirical analysis and modeling of diversified world stock indices
• No Arbitrage and the Growth Optimal Portfolio
• Diversified portfolios with jumps in a benchmark framework

Cites work

• scientific article; zbMATH DE number 1642354 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• scientific article; zbMATH DE number 4001209 (Why is no real title available?)
• scientific article; zbMATH DE number 837911 (Why is no real title available?)
• scientific article; zbMATH DE number 847282 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 1414609 (Why is no real title available?)
• A FAVORABLE STRATEGY FOR TWENTY-ONE
• A benchmark approach to quantitative finance
• A decomposition of Bessel Bridges
• A general version of the fundamental theorem of asset pricing
• A jump to default extended CEV model: an application of Bessel processes
• Arbitrage in continuous complete markets
• Consistent pricing and hedging for a modified constant elasticity of variance model
• Diffusion-based models for financial markets without martingale measures
• Estimating the diffusion coefficient function for a diversified world stock index
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• Hedging for the long run
• Interest rate volatility and the shape of the term structure
• Investment policies for expanding businesses optimal in a long‐run sense
• Kernel density estimation via diffusion
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• M6—On Minimal Market Models and Minimal Martingale Measures
• Non parametric estimation of the diffusion coefficient of a diffusion process
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• On estimating the diffusion coefficient from discrete observations
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The jackknife and the bootstrap for general stationary observations
• The numeraire portfolio for unbounded semimartingale
• The pricing of options and corporate liabilities

Cited in

(7)

• scientific article; zbMATH DE number 1462624 (Why is no real title available?)
• On the history of the growth-optimal portfolio
• Intraday empirical analysis and modeling of diversified world stock indices
• Growth-oriented portfolio selection based on stochastic holding periods
• A Hybrid Model for Pricing and Hedging of Long-dated Bonds
• MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
• Approximating the growth optimal portfolio and stock price bubbles

Describes a project that uses

Uses Software

• KernSmooth

This page was built for publication: A tractable model for indices approximating the growth optimal portfolio

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5404067)