A tractable model for indices approximating the growth optimal portfolio

DOI10.1515/SNDE-2012-0054zbMATH Open1283.91198OpenAlexW3124595384MaRDI QIDQ5404067FDOQ5404067

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

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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)

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Cited In (7)

• Title not available (Why is that?)
• 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

Uses Software

• KernSmooth

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