NEWS‐GENERATED DEPENDENCE AND OPTIMAL PORTFOLIOS FOR n STOCKS IN A MARKET OF BARNDORFF‐NIELSEN AND SHEPHARD TYPE
DOI10.1111/J.1467-9965.2006.00282.XzbMATH Open1133.91431OpenAlexW2044417422MaRDI QIDQ5455262FDOQ5455262
Authors: Carl Lindberg 
Publication date: 3 April 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00282.x
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Cites Work
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- Processes of normal inverse Gaussian type
- Optimum consumption and portfolio rules in a continuous-time model
- Hyperbolic distributions in finance
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- An optimal consumption model with stochastic volatility
- Optimal portfolios when stock prices follow an exponential Lévy process
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Portfolio optimization with unobservable Markov-modulated drift process
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
- A complete explicit solution to the log-optimal portfolio problem.
- A solution approach to valuation with unhedgeable risks
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
Cited In (7)
- On the explicit evaluation of the geometric Asian options in stochastic volatility models with jumps
- Portfolio optimization and a factor model in a stochastic volatility market
- Utility maximization in models with conditionally independent increments
- Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
- Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
- The estimation of the Barndorff-Nielsen and Shephard model from daily data based on measures of trading intensity
- Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
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