A tractable model for indices approximating the growth optimal portfolio

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

zbMATH Keywords

kernel estimation; constant elasticity of variance model; diffusion coefficient function; growth optimal portfolio; derivative hedging

Mathematics Subject Classification ID

62G07: Density estimation

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)

91G10: Portfolio theory

Related Items

A Hybrid Model for Pricing and Hedging of Long-dated Bonds

Uses Software

• KernSmooth

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Estimating the diffusion coefficient function for a diversified world stock index
• Kernel density estimation via diffusion
• A jump to default extended CEV model: an application of Bessel processes
• The fundamental theorem of asset pricing for unbounded stochastic processes
• A general version of the fundamental theorem of asset pricing
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• The jackknife and the bootstrap for general stationary observations
• Hedging for the long run
• A benchmark approach to quantitative finance
• Diffusion-Based Models for Financial Markets Without Martingale Measures
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• M6—On Minimal Market Models and Minimal Martingale Measures
• A FAVORABLE STRATEGY FOR TWENTY-ONE
• A decomposition of Bessel Bridges
• On estimating the diffusion coefficient from discrete observations
• Non parametric estimation of the diffusion coefficient of a diffusion process
• Consistent pricing and hedging for a modified constant elasticity of variance model
• Interest rate volatility and the shape of the term structure
• Arbitrage in continuous complete markets
• Non‐parametric Kernel Estimation of the Coefficient of a Diffusion
• Investment policies for expanding businesses optimal in a long‐run sense
• The numeraire portfolio for unbounded semimartingale